diff options
Diffstat (limited to 'python/exploration/vcube.py')
| -rw-r--r-- | python/exploration/vcube.py | 70 |
1 files changed, 47 insertions, 23 deletions
diff --git a/python/exploration/vcube.py b/python/exploration/vcube.py index d6d7d95f..8f78af32 100644 --- a/python/exploration/vcube.py +++ b/python/exploration/vcube.py @@ -1,6 +1,8 @@ import datetime +import lz4 from bbg_helpers import init_bbg_session, retrieve_data, BBG_IP from analytics.utils import tenor_t +from db import dbconn import pandas as pd spreads = [-200, -100, -50, -25, 25, 50, 100, 200] @@ -19,31 +21,53 @@ def ticker(expiry, tenor, spread, vol_type, source): # Normal vol # sources GFIS, CMPN -expiry = ["C", "F", 1, 2, 3, 4, 5, 7, 10, 20, 30] -tenor = [1, 2, 5, 10, 20, 30] -tickers = [] -for s in spreads: - for e in expiry: - for t in tenor: - tickers.append(ticker(e, t, s, "V", "GFIS")) - -with init_bbg_session(BBG_IP) as session: - data = retrieve_data(session, tickers, ['PX_LAST'], - start_date=datetime.date(2018, 1, 1)) - -df = pd.concat(data, axis=1) -df.columns = df.columns.droplevel(1) -col = df.columns.to_series().str.extract("US([RP])([DCGBA])(\d[0-9ACF])(\d{2})") -pos_dict = {v: k for k, v in spread_letter.items()} -neg_dict = {v: -k for k, v in spread_letter.items()} -col.loc[col[0] == 'P', 1] = col.loc[col[0] == 'P', 1].map(pos_dict) -col.loc[col[0] == 'R', 1] = col.loc[col[0] == 'R', 1].map(neg_dict) +def get_tickers(vol_type="V", source="GFIS"): + expiry = ["C", "F", 1, 2, 3, 4, 5, 7, 10, 20, 30] + tenor = [1, 2, 5, 10, 20, 30] + for s in spreads: + for e in expiry: + for t in tenor: + yield ticker(e, t, s, vol_type, source) def to_tenor(s): d = {'A': '1m', 'C': '3m', 'F': '6m'} return d.get(s, s + 'yr') -col[2] = col[2].str.lstrip("0").map(to_tenor).astype(tenor_t) -col[3] = col[3].str.lstrip("0").map(to_tenor).astype(tenor_t) -df.columns = pd.MultiIndex.from_arrays([col[1], col[2], col[3]], - names=['spread', 'expiry', 'tenor']) +def get_vol_cube(conn, date, source='GFIS'): + with conn.cursor() as c: + c.execute("SELECT cube FROM swaption_vol_cube WHERE date=%s AND source=%s", + (date, source)) + cube, = next(c) + return pd.read_msgpack(lz4.block.decompress(cube)) + +if __name__ == "__main__": + serenitasdb = dbconn('serenitasdb') + + with init_bbg_session(BBG_IP) as session: + for source in ["GFIS", "CMPN"]: + data = retrieve_data(session, list(get_tickers("V", source)), + ['PX_LAST'], + start_date=datetime.date(2013, 1, 1)) + + df = pd.concat(data, axis=1) + df.columns = df.columns.droplevel(1) + col = df.columns.to_series().str.extract("US([RP])([DCGBA])(\d[0-9ACF])(\d{2})") + pos_dict = {v: k for k, v in spread_letter.items()} + neg_dict = {v: -k for k, v in spread_letter.items()} + col.loc[col[0] == 'P', 1] = col.loc[col[0] == 'P', 1].map(pos_dict) + col.loc[col[0] == 'R', 1] = col.loc[col[0] == 'R', 1].map(neg_dict) + + + col[2] = col[2].str.lstrip("0").map(to_tenor).astype(tenor_t) + col[3] = col[3].str.lstrip("0").map(to_tenor).astype(tenor_t) + df.columns = pd.MultiIndex.from_arrays([col[1], col[2], col[3]], + names=['spread', 'expiry', 'tenor']) + df = df.sort_index(axis=1) + with serenitasdb.cursor() as c: + for date, s in df.iterrows(): + s = s.unstack('tenor') + c.execute("INSERT INTO swaption_vol_cube(date, cube, source) " + "VALUES(%s, %s, %s) ON CONFLICT (date, source) " + "DO UPDATE SET cube = excluded.cube", + (date, lz4.block.compress(s.to_msgpack()), source)) + serenitasdb.commit() |