diff options
Diffstat (limited to 'python/index_data.py')
| -rw-r--r-- | python/index_data.py | 14 |
1 files changed, 7 insertions, 7 deletions
diff --git a/python/index_data.py b/python/index_data.py index 91fe2f49..11935194 100644 --- a/python/index_data.py +++ b/python/index_data.py @@ -3,7 +3,7 @@ from dates import bond_cal import datetime import pandas as pd -serenitasdb = dbengine('serenitasdb') +_serenitas_engine = dbengine('serenitasdb') def insert_quotes(): """ @@ -22,7 +22,7 @@ def insert_quotes(): df = pd.read_sql_query("SELECT DISTINCT ON (date) * FROM index_quotes " \ "WHERE index='HY' AND tenor='5yr' " \ "ORDER BY date, series DESC, version DESC", - serenitasdb, parse_dates=['date'], index_col=['date']) + _serenitas_engine, parse_dates=['date'], index_col=['date']) df = df.loc[dates] for tup in df.itertuples(): result = serenitasdb.execute("SELECT indexfactor, cumulativeloss FROM index_version " \ @@ -34,9 +34,9 @@ def insert_quotes(): recovery = 1-(cumloss2-cumloss1) version2_price = (factor1 * tup.closeprice - 100*recovery)/factor2 print(version2_price) - serenitasdb.execute("INSERT INTO index_quotes(date, index, series, version, tenor, closeprice)" \ - "VALUES(%s, %s, %s, %s, %s, %s)", - (tup.Index, 'HY', tup.series, tup.version+1, tup.tenor, version2_price)) + _serenitas_engine.execute("INSERT INTO index_quotes(date, index, series, version, tenor, closeprice)" \ + "VALUES(%s, %s, %s, %s, %s, %s)", + (tup.Index, 'HY', tup.series, tup.version+1, tup.tenor, version2_price)) def get_index_quotes(index=None, series=None, tenor=None, from_date=None, years=3): args = locals().copy() @@ -66,7 +66,7 @@ def get_index_quotes(index=None, series=None, tenor=None, from_date=None, years= return {k: tuple(v) if isinstance(v, list) else v for k, v in args.items() if v is not None} - df = pd.read_sql_query(sql_str, serenitasdb, parse_dates=['date'], + df = pd.read_sql_query(sql_str, _serenitas_engine, parse_dates=['date'], index_col=['date', 'index', 'series', 'version', 'tenor'], params = make_params(args)) df.sort_index(inplace=True) @@ -105,7 +105,7 @@ def index_returns(df=None, index=None, series=None, tenor=None, from_date=None, df.columns = ['spread_return', 'price_return'] df = df.groupby(level=['date', 'index', 'series', 'tenor']).nth(0) coupon_data = pd.read_sql_query("SELECT index, series, tenor, coupon FROM " \ - "index_maturity WHERE coupon is NOT NULL", serenitasdb, + "index_maturity WHERE coupon is NOT NULL", _serenitas_engine, index_col=['index', 'series', 'tenor']) def add_accrued(df): coupon = coupon_data.loc[df.index[0][1:],'coupon'] * 1e-4 |