diff options
Diffstat (limited to 'python/insert_tranche_quotes.py')
| -rw-r--r-- | python/insert_tranche_quotes.py | 23 |
1 files changed, 19 insertions, 4 deletions
diff --git a/python/insert_tranche_quotes.py b/python/insert_tranche_quotes.py index f1b8cfb2..7f8ced6a 100644 --- a/python/insert_tranche_quotes.py +++ b/python/insert_tranche_quotes.py @@ -1,6 +1,7 @@ from sqlalchemy import Table, create_engine, MetaData
import os
import csv
+import datetime
engine = create_engine('postgresql://mlpdb_user:Serenitas1@debian/mlpdb')
metadata = MetaData(bind = engine)
@@ -9,9 +10,19 @@ 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]
+K = [0, 15, 25, 35, 100]
+
for quotefile in quotefiles:
with open(os.path.join(root_dir, 'Scenarios', 'Calibration', quotefile)) as fh:
- quotedate = os.path.splitext(quotefile)[0].split("_")[-1]
+ quotedate = datetime.datetime.strptime(os.path.splitext(quotefile)[0].split("_")[-1], "%Y-%m-%d").date()
+ series = 19 if "19" in quotefile else 21
+ index = os.path.splitext(quotefile)[0].split("_")
+ if quotedate < datetime.date(2013, 9, 23):
+ continue
+ if quotedate <= datetime.date(2014, 5, 21):
+ version=1
+ else:
+ version=2
reader = csv.DictReader(fh)
data = []
for i, csvdict in enumerate(reader):
@@ -21,9 +32,13 @@ for quotefile in quotefiles: 'quotesource' : csvdict['AskContributorCode'],
'upfront' : csvdict['Mid'],
'running' : float(csvdict['Coupon']) * 10000 if 'Coupon' in csvdict else 500,
- 'tenor' : 'Y5',
- 'basketid' : 182910,
- 'trancheid' : 182910+i}
+ 'tenor' : '5yr',
+ 'index' : 'HY',
+ 'series': series,
+ 'version': version,
+ 'attach': K[i],
+ 'detach': K[i+1]
+ }
data.append(d)
with engine.begin() as conn:
conn.execute(ins, data)
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