diff options
Diffstat (limited to 'python/markit')
| -rw-r--r-- | python/markit/import_quotes.py | 67 |
1 files changed, 35 insertions, 32 deletions
diff --git a/python/markit/import_quotes.py b/python/markit/import_quotes.py index bf20d2da..2fd09bc3 100644 --- a/python/markit/import_quotes.py +++ b/python/markit/import_quotes.py @@ -173,7 +173,7 @@ def insert_cds(database, workdate: datetime.date): next(fh) csvreader = csv.DictReader(fh) if fixed: - g = ((l, int(float(l["RunningCoupon"])) * 10000) for l in csvreader) + g = ((l, int(float(l["RunningCoupon"]) * 10000)) for l in csvreader) else: # we repeat each line with both values g = product(csvreader, (100, 500)) @@ -219,55 +219,58 @@ def insert_cds(database, workdate: datetime.date): ) except ValueError: logging.error(f"couldn't build curve for {k.ticker}") - buf = sc.as_buffer(True) - for (cid, sen), curves in mappings: - c.execute( - "INSERT INTO cds_curves VALUES(%s, %s, %s, %s, %s) " - "ON CONFLICT (date, company_id, seniority) " - "DO UPDATE SET curve=excluded.curve, redcode=excluded.redcode", - (workdate, cid, sen.name, line["RedCode"], buf), - ) - c.executemany( - sqlstr, - [ - ( - workdate, - t, - upf * 100, - upf * 100, - spread, - spread, - "MKIT", - recovery_rates[0], - ) - for t, upf in zip(curves, upfront_rates) - ], - ) - tickers_found.add(k) + else: + buf = sc.as_buffer(True) + for (cid, sen), curves in mappings: + c.execute( + "INSERT INTO cds_curves VALUES(%s, %s, %s, %s, %s) " + "ON CONFLICT (date, company_id, seniority) " + "DO UPDATE SET curve=excluded.curve, redcode=excluded.redcode", + (workdate, cid, sen.name, line["RedCode"], buf), + ) + c.executemany( + sqlstr, + [ + ( + workdate, + t, + upf * 100, + upf * 100, + spread, + spread, + "MKIT", + recovery_rates[0], + ) + for t, upf in zip(curves, upfront_rates) + ], + ) + tickers_found.add(k) database.commit() tickers_missing = markit_bbg_mapping.keys() - tickers_found - tickers_missing.remove(CurveKey("JTIUK", "SNRFOR", "EUR", "CR14", 100)) + jtiuk = CurveKey("JTIUK", "SNRFOR", "EUR", "CR14", 100) + if jtiuk in tickers_missing: + tickers_missing.remove(jtiuk) with database.cursor() as c: for curve_key in tickers_missing: logger.warning(f"{curve_key.full_ticker} missing for {workdate}") for (cid, sen), e in markit_bbg_mapping[curve_key]: c.execute( - "SELECT date, curve FROM cds_curves " + "SELECT date, redcode, curve FROM cds_curves " "WHERE company_id=%s AND seniority=%s AND date <= %s " "ORDER BY date desc", (cid, sen.name, workdate), ) try: - date, curve = c.fetchone() + date, redcode, curve = c.fetchone() except TypeError: logger.error(f"{curve_key.full_ticker} never existed") else: if (workdate - date).days < 20: # we copy over the old curve c.execute( - "INSERT INTO cds_curves VALUES(%s, %s, %s, %s) " + "INSERT INTO cds_curves VALUES(%s, %s, %s, %s, %s) " "ON CONFLICT (date, company_id, seniority) " - "DO UPDATE SET curve=excluded.curve", - (workdate, cid, sen.name, curve), + "DO UPDATE SET curve=excluded.curve, redcode=excluded.redcode", + (workdate, cid, sen.name, redcode, curve), ) logger.info(f"Using {date} curve for {curve_key.ticker}") else: |