diff options
Diffstat (limited to 'python/markit/import_quotes.py')
| -rw-r--r-- | python/markit/import_quotes.py | 7 |
1 files changed, 4 insertions, 3 deletions
diff --git a/python/markit/import_quotes.py b/python/markit/import_quotes.py index d3ac8a29..203e1397 100644 --- a/python/markit/import_quotes.py +++ b/python/markit/import_quotes.py @@ -18,7 +18,7 @@ def convert(x): return None index_list = ['HY9', 'HY10'] + ['HY' + str(s) for s in range(15, 27)] + ['IG9'] + \ - ['IG' + str(s) for s in range(16, 28)] + \ + ['IG' + str(s) for s in range(16, 29)] + \ ['XO' + str(s) for s in range(22, 27)] + \ ['EU9'] + \ ['EU' + str(s) for s in range(19, 27)] @@ -51,7 +51,7 @@ def get_markit_bbg_mapping(database, basketid_list, workdate): ## each markit ticker can be mapped to multiple bbg tickers ## these bbg tickers can have different curves (ok) ## or same curves (not ok since date, curve_ticker needs to be unique) - ## therefore we keep them in a set strucutre + ## therefore we keep them in a set structure markit_bbg_mapping[key].add(tuple(line['cds_curve'])) database.commit() return (all_tickers, markit_bbg_mapping) @@ -80,7 +80,8 @@ def insert_cds(database, workdate): filename = "cds eod {0:%Y%m%d}.csv".format(workdate) colnames = ['Upfront'+tenor for tenor in ['6m', '1y', '2y', '3y', '4y', '5y', '7y', '10y']] sqlstr = "INSERT INTO cds_quotes(date, curve_ticker, upfrontbid, upfrontask," \ - "runningbid, runningask, source, recovery) VALUES(%s, %s, %s, %s, %s, %s, %s, %s)" + "runningbid, runningask, source, recovery) VALUES(%s, %s, %s, %s, %s, %s, %s, %s) " \ + "ON CONFLICT DO NOTHING" tickers_found = set([]) with database.cursor() as c: |