diff options
Diffstat (limited to 'python/import_cds_quotes.py')
| -rw-r--r-- | python/import_cds_quotes.py | 20 |
1 files changed, 10 insertions, 10 deletions
diff --git a/python/import_cds_quotes.py b/python/import_cds_quotes.py index 430ff190..d45a947f 100644 --- a/python/import_cds_quotes.py +++ b/python/import_cds_quotes.py @@ -2,7 +2,7 @@ import os from common import root import csv import datetime -from db import connmlpdb +from db import serenitasdb import re, sys from pandas.tseries.offsets import BDay import pdb @@ -13,13 +13,13 @@ def convert(x): except ValueError: return None -def get_current_tickers(connmlpdb, workdate): +def get_current_tickers(database, workdate): sqlstr = "SELECT markit_ticker, markit_tier, cds_curve from index_members(%s, %s)" markit_bbg_mapping = {} all_tickers = set([]) for index in ['HY9', 'HY10', 'HY15', 'HY17', 'HY19', 'HY21', 'IG9', 'IG19', 'IG21']: spread=0.05 if 'HY' in index else 0.01 - with connmlpdb.cursor() as c: + with database.cursor() as c: c.execute(sqlstr, (index, workdate)) for line in c: all_tickers.add((line['markit_ticker'], line['markit_tier'])) @@ -31,20 +31,20 @@ def get_current_tickers(connmlpdb, workdate): return (all_tickers, markit_bbg_mapping) -def insert_cds(connmlpdb, workdate): - all_tickers, markit_bbg_mapping = get_current_tickers(connmlpdb, workdate) +def insert_cds(database, workdate): + all_tickers, markit_bbg_mapping = get_current_tickers(database, workdate) filename = "cds eod {0}.csv".format(datetime.datetime.strftime(workdate, "%Y%m%d")) colnames = ['Upfront'+tenor for tenor in ['6m', '1y', '2y', '3y', '4y', '5y', '7y', '10y']] sqlstr = "INSERT INTO cds_quotes(date, curve_ticker, upfrontbid, upfrontask," \ "runningbid, runningask, source, recovery) VALUES(%s, %s, %s, %s, %s, %s, %s, %s)" tickers_found = set([]) - with connmlpdb.cursor() as c: + with database.cursor() as c: c.execute("DELETE from cds_quotes where date=%s", (workdate,)) - connmlpdb.commit() + database.commit() with open(os.path.join(root, "Tranche_data", "CDS", filename)) as fh: csvreader = csv.DictReader(fh) - with connmlpdb.cursor() as c: + with database.cursor() as c: for line in csvreader: tickers_found.add((line['Ticker'], line['Tier'])) k = (line['Ticker'], line['Tier'], line['Ccy'], line['DocClause'], float(line['RunningCoupon'])) @@ -56,7 +56,7 @@ def insert_cds(connmlpdb, workdate): for i, t in enumerate(markit_bbg_mapping[k])]) except KeyError: continue - connmlpdb.commit() + database.commit() print(all_tickers-tickers_found) if __name__=="__main__": @@ -65,4 +65,4 @@ if __name__=="__main__": else: workdate = datetime.datetime.today()-BDay(1) workdate = workdate.date() - insert_cds(connmlpdb, workdate) + insert_cds(serenitasdb, workdate) |