diff options
Diffstat (limited to 'python/import_quotes.py')
| -rw-r--r-- | python/import_quotes.py | 13 |
1 files changed, 8 insertions, 5 deletions
diff --git a/python/import_quotes.py b/python/import_quotes.py index e87e8a6c..83e0b86c 100644 --- a/python/import_quotes.py +++ b/python/import_quotes.py @@ -17,24 +17,27 @@ def convert(x): return None index_list = ['HY9', 'HY10', 'HY15', 'HY17', 'HY19', 'HY21', 'HY22', 'HY23', - 'IG9', 'IG19', 'IG21', 'IG22', 'IG23', 'XO22', 'EU9', 'EU19', 'EU21'] + 'IG9', 'IG19', 'IG21', 'IG22', 'IG23', 'XO22', 'EU9', 'EU19', 'EU21', 'EU22'] -doc_clause_mapping14 = {'Full Restructuring': 'MM14', +DOC_CLAUSE_MAPPING14 = {'Full Restructuring': 'MM14', 'No Restructuring': 'XR14', 'Modified Modified Restructurin': 'MM14'} -doc_clause_mapping = {'Full Restructuring': 'MM', +DOC_CLAUSE_MAPPING = {'Full Restructuring': 'MM', 'No Restructuring': 'XR', 'Modified Modified Restructurin': 'MM'} def get_markit_bbg_mapping(database, basketid_list, workdate): if workdate>=datetime.date(2014, 9, 19): - doc_clause_mapping = doc_clause_mapping14 + doc_clause_mapping = DOC_CLAUSE_MAPPING14 + else: + doc_clause_mapping = DOC_CLAUSE_MAPPING markit_bbg_mapping = {} all_tickers = set([]) with database.cursor() as c: c.execute("SELECT markit_ticker, markit_tier, spread, currency, cds_curve, " \ - " doc_clause FROM cds_issuers where index_list && %s", (basketid_list,)) + " doc_clause FROM historical_cds_issuers(%s) where index_list && %s", + (workdate, basketid_list)) for line in c: all_tickers.add((line['markit_ticker'], line['markit_tier'])) key = (line['markit_ticker'], line['markit_tier'], line['currency'], |