diff options
Diffstat (limited to 'python/markit/import_quotes.py')
| -rw-r--r-- | python/markit/import_quotes.py | 12 |
1 files changed, 6 insertions, 6 deletions
diff --git a/python/markit/import_quotes.py b/python/markit/import_quotes.py index 22339bfe..568252ec 100644 --- a/python/markit/import_quotes.py +++ b/python/markit/import_quotes.py @@ -179,6 +179,7 @@ def insert_index(engine, workdate=None): name_mapping = { "CDXNAHY": "HY", + "CDX NAHYBB": "HYBB", "CDXNAIG": "IG", "iTraxx Eur": "EU", "iTraxx Eur Xover": "XO", @@ -217,9 +218,7 @@ def insert_index(engine, workdate=None): for col in cols: data[col] = data[col].str.replace("%", "").astype("float") data["tenor"] = data["tenor"].apply(lambda x: x.lower() + "r") - data["index"] = data["index"].apply( - lambda x: name_mapping[x] if x in name_mapping else np.NaN - ) + data["index"] = data["index"].map(name_mapping) data = data.dropna(subset=["index"]) data["close_spread"] *= 100 data["model_spread"] *= 100 @@ -227,9 +226,10 @@ def insert_index(engine, workdate=None): data.loc[data.series.isin([9, 10, 11]) & (data.index == "HY"), "version"] -= 3 # data = data.groupby(['index', 'series', 'tenor', 'date'], as_index=False).last() data["source"] = "MKIT" - data[ext_cols].to_sql( - "index_quotes_pre", engine, if_exists="append", index=False - ) + place_holders = ",".join(["%s"] * len(ext_cols)) + sql_str = (f"INSERT INTO index_quotes_pre({','.join(ext_cols)}) " + f"VALUES({place_holders}) ON CONFLICT DO NOTHING") + engine.execute(sql_str, list(data[ext_cols].itertuples(index=False))) def insert_tranche(engine, workdate=None): |