diff options
Diffstat (limited to 'python/import_quotes.py')
| -rw-r--r-- | python/import_quotes.py | 11 |
1 files changed, 4 insertions, 7 deletions
diff --git a/python/import_quotes.py b/python/import_quotes.py index bbc697b5..866ac54b 100644 --- a/python/import_quotes.py +++ b/python/import_quotes.py @@ -17,7 +17,7 @@ def convert(x): return None index_list = ['HY9', 'HY10', 'HY15', 'HY17', 'HY19', 'HY21', 'HY22', 'HY23', - 'IG9', 'IG19', 'IG21', 'IG22', 'IG23', 'XO22'] + 'IG9', 'IG19', 'IG21', 'IG22', 'IG23', 'XO22', 'EU9', 'EU19', 'EU21'] def doc_clause_from_index(index, date): if index[:2] in ['HY', 'IG']: @@ -32,20 +32,17 @@ def doc_clause_from_index(index, date): return 'MM' def get_current_tickers(database, workdate): - sqlstr = "SELECT markit_ticker, markit_tier, currency, cds_curve from index_members(%s, %s)" + sqlstr = "SELECT markit_ticker, markit_tier, spread, currency, cds_curve from index_members(%s, %s)" markit_bbg_mapping = {} all_tickers = set([]) for index in index_list: - spread=0.05 if index[:2] in ['XO', 'HY'] else 0.01 doc_clause = doc_clause_from_index(index, workdate) with database.cursor() as c: c.execute(sqlstr, (index, workdate)) for line in c: all_tickers.add((line['markit_ticker'], line['markit_tier'])) - key = (line['markit_ticker'], line['markit_tier'], line['currency'], doc_clause, spread) - hykey = key[:-1]+(0.05,) - if hykey in markit_bbg_mapping: - del markit_bbg_mapping[hykey] ## we only keep the tightest quote + key = (line['markit_ticker'], line['markit_tier'], line['currency'], + doc_clause, float(line['spread'])/10000) markit_bbg_mapping[key] = line['cds_curve'] return (all_tickers, markit_bbg_mapping) |