diff options
Diffstat (limited to 'python/insert_tranche_quotes.py')
| -rw-r--r-- | python/insert_tranche_quotes.py | 11 |
1 files changed, 6 insertions, 5 deletions
diff --git a/python/insert_tranche_quotes.py b/python/insert_tranche_quotes.py index 9e22a73b..e3325171 100644 --- a/python/insert_tranche_quotes.py +++ b/python/insert_tranche_quotes.py @@ -11,7 +11,7 @@ quotes = Table('tranche_quotes', metadata, autoload = True) ins = quotes.insert()
root_dir = '/home/share/CorpCDOs'
-quotefiles = [f for f in os.listdir(os.path.join(root_dir, 'Tranche_data', 'Quotes')) if '2' in f]
+quotefiles = [f for f in os.listdir(os.path.join(root_dir, 'Tranche_data', 'Quotes')) if 'csv' in f]
def convert(x):
try:
@@ -37,6 +37,8 @@ for quotefile in quotefiles: attach = int(csvdict['Attach'])
series = int(csvdict['Series'])
version = int(csvdict['Version'])
+ if csvdict['Ref']=='': #no delta quote maybe
+ continue
if csvdict['Ticker'] == 'CDX-NAHY':
if csvdict['Price Bid']=='':
@@ -62,20 +64,19 @@ for quotefile in quotefiles: 'detach': int(csvdict['Detach'])
}
elif csvdict['Ticker'] == 'CDX-NAIG':
- if csvdict['Ref']=='': #no delta quote maybe
- continue
+
if series>=22:
continue
try:
trancheupfront = (float(csvdict['Upfront Bid'])+float(csvdict['Upfront Ask']))/2
except ValueError:
- continue
+ trancheupfront = None
d = {'quotedate' : timestamp,
'indexrefspread': int(float(csvdict['Ref'])),
'tranchedelta': convert(csvdict['Delta']),
'quotesource' : csvdict['Source'],
'trancheupfront' : trancheupfront,
- 'trancherunning' : runningdict2[attach] if series==9 else runningdict1[attach],
+ 'trancherunning' : runningdict2[attach] if series<19 else runningdict1[attach],
'tenor' : tenordict[csvdict['Tenor']],
'index' : 'IG',
'series': series,
|