diff options
Diffstat (limited to 'python/markit')
| -rw-r--r-- | python/markit/rates.py | 16 |
1 files changed, 9 insertions, 7 deletions
diff --git a/python/markit/rates.py b/python/markit/rates.py index 261e3db5..e3bd6469 100644 --- a/python/markit/rates.py +++ b/python/markit/rates.py @@ -4,6 +4,7 @@ from io import BytesIO import lz4 import os import pandas as pd +from psycopg2 import sql import requests import xml.etree.ElementTree as ET import zipfile @@ -16,9 +17,9 @@ def downloadMarkitIRData(download_date=datetime.date.today(), ## T+1 rates are published in the evening effective_date = download_date + datetime.timedelta(days=1) basedir = os.path.join(os.environ['DATA_DIR'], "Yield Curves") - filename = "InterestRates_{0}_{1:%Y%m%d}".format(currency, effective_date) + filename = f"InterestRates_{currency}_{effective_date:%Y%m%d}" if not os.path.exists(os.path.join(basedir, filename + '.xml')): - r = requests.get('http://www.markit.com/news/{0}.zip'.format(filename)) + r = requests.get(f'http://www.markit.com/news/{filename}.zip') if "zip" in r.headers['content-type']: with zipfile.ZipFile(BytesIO(r.content)) as z: z.extractall(path = os.path.join(os.environ['DATA_DIR'], "Yield Curves")) @@ -36,15 +37,16 @@ def downloadMarkitIRData(download_date=datetime.date.today(), 'effectiveasof': pd.Timestamp(effectiveasof).date()} ql_yc = YC(currency=currency, MarkitData=MarkitData, evaluation_date=MarkitData['effectiveasof']) jp_yc = ql_to_jp(ql_yc) - sql_str = "INSERT INTO {}_curves VALUES(%s, %s) ON CONFLICT DO NOTHING".format(currency) + sql_str = f"INSERT INTO {currency}_curves VALUES(%s, %s) ON CONFLICT DO NOTHING" with conn.cursor() as c: c.execute(sql_str, (MarkitData['effectiveasof'], lz4.block.compress(jp_yc.__getstate__()))) instruments = MarkitData['deposits'] + MarkitData['swaps'] - names = ",".join(['"{}"'.format(r[0]) for r in instruments]) - values = ",".join(["%s"] * (len(instruments) + 1)) # +1 for effective_date - insert_str = ("INSERT INTO {0}_rates(effective_date, {1}) VALUES({2}) ON CONFLICT DO NOTHING". - format(currency, names, values)) + names = sql.SQL(", ").join([sql.Identifier(r[0]) for r in instruments]) + values = sql.SQL(", ").join(sql.Placeholder() * (len(instruments) + 1)) # +1 for effective_date + insert_str = (sql.SQL(f"INSERT INTO {currency}_rates(effective_date, {{}}) VALUES({{}}) " \ + "ON CONFLICT DO NOTHING"). + format(names, values)) with conn.cursor() as c: c.execute(insert_str, [MarkitData['effectiveasof']] +[r[1] for r in instruments]) conn.commit() |