1 files changed, 29 insertions, 0 deletions
diff --git a/python/insert_tranche_quotes.py b/python/insert_tranche_quotes.py
new file mode 100644
index 00000000..f1b8cfb2
--- /dev/null
+++ b/python/insert_tranche_quotes.py
@@ -0,0 +1,29 @@
+from sqlalchemy import Table, create_engine, MetaData
+import os
+import csv
+
+engine = create_engine('postgresql://mlpdb_user:Serenitas1@debian/mlpdb')
+metadata = MetaData(bind = engine)
+quotes = Table('quotes', metadata, autoload = True)
+ins = quotes.insert()
+
+root_dir = '/home/share/CorpCDOs'
+quotefiles = [f for f in os.listdir(os.path.join(root_dir, 'Scenarios', 'Calibration')) if 'tranches' in f]
+for quotefile in quotefiles:
+    with open(os.path.join(root_dir, 'Scenarios', 'Calibration', quotefile)) as fh:
+        quotedate = os.path.splitext(quotefile)[0].split("_")[-1]
+        reader = csv.DictReader(fh)
+        data = []
+        for i, csvdict in enumerate(reader):
+            d = {'quotedate' : quotedate,
+                 'refbasketprice': csvdict['bidRefPrice'],
+                 'tranchedelta': csvdict['bidDelta'],
+                 'quotesource' : csvdict['AskContributorCode'],
+                 'upfront' : csvdict['Mid'],
+                 'running' : float(csvdict['Coupon']) * 10000 if 'Coupon' in csvdict else 500,
+                 'tenor' : 'Y5',
+                 'basketid' : 182910,
+                 'trancheid' : 182910+i}
+            data.append(d)
+    with engine.begin() as conn:
+        conn.execute(ins, data)