diff options
Diffstat (limited to 'python/markit/import_quotes.py')
| -rw-r--r-- | python/markit/import_quotes.py | 10 |
1 files changed, 2 insertions, 8 deletions
diff --git a/python/markit/import_quotes.py b/python/markit/import_quotes.py index bb53fb03..b7d4ee5d 100644 --- a/python/markit/import_quotes.py +++ b/python/markit/import_quotes.py @@ -36,22 +36,16 @@ DOC_CLAUSE_MAPPING = {'Full Restructuring': 'MM', 'Modified Modified Restructurin': 'MM'} def get_markit_bbg_mapping(database, basketid_list, workdate): - if workdate >= datetime.date(2014, 9, 19): - doc_clause_mapping = DOC_CLAUSE_MAPPING14 - else: - doc_clause_mapping = DOC_CLAUSE_MAPPING markit_bbg_mapping = defaultdict(set) all_tickers = set([]) with database.cursor() as c: c.execute("SELECT markit_ticker, markit_tier, spread, currency, cds_curve, " - " doc_clause FROM historical_cds_issuers(%s) where index_list && %s", + " short_code FROM historical_cds_issuers(%s) where index_list && %s", (workdate, list(basketid_list))) for line in c: all_tickers.add((line['markit_ticker'], line['markit_tier'])) key = (line['markit_ticker'], line['markit_tier'], line['currency'], - doc_clause_mapping[line['doc_clause']], float(line['spread'])/10000) - if key == ('CESEOP', 'SNRFOR', 'USD', 'XR14', 0.05): - key = ('CESEOP', 'SNRFOR', 'USD', 'XR', 0.05) + line['short_code'], float(line['spread'])/10000) ## 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) |