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Diffstat (limited to 'python/load_markit_tranches.py')
| -rw-r--r-- | python/load_markit_tranches.py | 29 |
1 files changed, 0 insertions, 29 deletions
diff --git a/python/load_markit_tranches.py b/python/load_markit_tranches.py deleted file mode 100644 index adfc3289..00000000 --- a/python/load_markit_tranches.py +++ /dev/null @@ -1,29 +0,0 @@ -import glob -import pandas as pd -from sqlalchemy import create_engine -import pdb -engine = create_engine("postgresql://serenitas_user@debian/serenitasdb") -index_version = pd.read_sql_table("index_version", engine, index_col='redindexcode') - -for f in glob.iglob("/home/share/CorpCDOs/Tranche_data/Composite_reports/Tranche Composites*"): - df = pd.read_csv(f, skiprows=2, parse_dates=['Date']) - df.rename(columns={'Date':'quotedate', - 'Index Term':'tenor', - 'Attachment':'attach', - 'Detachment':'detach', - 'Tranche Upfront Bid': 'upfront_bid', - 'Tranche Upfront Mid': 'upfront_mid', - 'Tranche Upfront Ask': 'upfront_ask', - 'Index Price Mid': 'index_price', - 'Tranche Spread Mid': 'tranche_spread', - 'Red Code':'redindexcode'}, inplace=True) - df.attach = df.attach *100 - df.detach = df.detach * 100 - df.tranche_spread = df.tranche_spread*10000 - df.tenor = df.tenor.str.lower() + 'r' - df.set_index('redindexcode', inplace=True) - df = df.join(index_version) - df = df.filter(['basketid', 'quotedate', 'tenor', 'attach', 'detach', - 'upfront_bid', 'upfront_ask', 'upfront_mid', - 'tranche_spread', 'index_price']) - df.to_sql('markit_tranche_quotes', engine, if_exists='append', index=False) |