diff options
Diffstat (limited to 'python/markit/import_quotes.py')
| -rw-r--r-- | python/markit/import_quotes.py | 79 |
1 files changed, 45 insertions, 34 deletions
diff --git a/python/markit/import_quotes.py b/python/markit/import_quotes.py index abcf3831..a8d05a29 100644 --- a/python/markit/import_quotes.py +++ b/python/markit/import_quotes.py @@ -17,6 +17,14 @@ from yieldcurve import get_curve logger = logging.getLogger(__name__) +__all__ = ( + "copy_curves_forward", + "remove_curves", + "insert_cds", + "insert_index", + "insert_tranche", +) + def convert(x): try: @@ -112,17 +120,6 @@ def get_current_tickers(database, workdate): return get_markit_bbg_mapping(database, basketids, workdate) -def get_defaulted(mappings, default_table, workdate): - for bbg_id, _ in mappings: - if event_date := default_table.get(bbg_id, False): - if workdate >= event_date: - defaulted = event_date - break - else: - defaulted = None - return defaulted - - def csv_file_gen(workdate): CDS_DIR = BASE_DIR / "Tranche_data" / "CDS" / f"{workdate:%Y}" csv_file = CDS_DIR / f"{workdate}_fixed.csv.lz4" @@ -218,29 +215,32 @@ def insert_cds(database, workdate: datetime.date): coupon_rates = np.array( [convert(line[c]) / 100 for c in col_spread] ) - defaulted = get_defaulted(mappings, default_table, workdate) - try: - sc = SpreadCurve( - workdate, - yc_dict[k.currency], - None, - None, - None, - tenors, - coupon_rates, - upfront_rates, - recovery_rates, - ticker=k.ticker, - seniority=seniority_mapping[k.tier], - doc_clause=DocClause[k.short_code], - defaulted=defaulted, - ) - except ValueError: - logging.error(f"couldn't build curve for {k.ticker}") - else: - buf = sc.as_buffer(True) - for (cid, sen), curves in mappings: + for (cid, sen), curves in mappings: + defaulted = None + if event_date := default_table.get(cid, False): + if workdate >= event_date: + defaulted = event_date + try: + sc = SpreadCurve( + workdate, + yc_dict[k.currency], + None, + None, + None, + tenors, + coupon_rates, + upfront_rates, + recovery_rates, + ticker=k.ticker, + seniority=seniority_mapping[k.tier], + doc_clause=DocClause[k.short_code], + defaulted=defaulted, + ) + except ValueError: + logging.error(f"couldn't build curve for {k.ticker}") + else: + buf = sc.as_buffer(True) c.execute( "INSERT INTO cds_curves VALUES(%s, %s, %s, %s, %s) " "ON CONFLICT (date, company_id, seniority) " @@ -263,7 +263,7 @@ def insert_cds(database, workdate: datetime.date): for t, upf in zip(curves, upfront_rates) ], ) - tickers_found.add(k) + tickers_found.add(k) database.commit() # handle missing tickers @@ -288,6 +288,17 @@ def insert_cds(database, workdate: datetime.date): logger.error(f"{curve_key.full_ticker} never existed") else: if (workdate - date).days < 20: # we copy over the old curve + # check if there was an event of default + # in that case, mark the curve as defaulted + sc = SpreadCurve.from_bytes(curve, True) + if not sc.defaulted: + defaulted = None + if event_date := default_table.get(cid, False): + if workdate >= event_date: + defaulted = event_date + if defaulted: + sc.default_date = defaulted + curve = sc.as_buffer(True) c.execute( "INSERT INTO cds_curves VALUES(%s, %s, %s, %s, %s) " "ON CONFLICT (date, company_id, seniority) " |