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Diffstat (limited to 'python/load_markit_tranches.py')
| -rw-r--r-- | python/load_markit_tranches.py | 29 |
1 files changed, 29 insertions, 0 deletions
diff --git a/python/load_markit_tranches.py b/python/load_markit_tranches.py new file mode 100644 index 00000000..adfc3289 --- /dev/null +++ b/python/load_markit_tranches.py @@ -0,0 +1,29 @@ +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) |