diff options
Diffstat (limited to 'python/markit')
| -rw-r--r-- | python/markit/import_quotes.py | 19 |
1 files changed, 8 insertions, 11 deletions
diff --git a/python/markit/import_quotes.py b/python/markit/import_quotes.py index 5bdd289c..9892478b 100644 --- a/python/markit/import_quotes.py +++ b/python/markit/import_quotes.py @@ -132,14 +132,13 @@ def insert_index(engine, workdate=None): "CDXNAIG": "IG", 'iTraxx Eur': "EU", 'iTraxx Eur Xover': "XO"} - cols = ['closeprice', 'closespread', 'modelprice', 'modelspread'] + cols = ['close_price', 'close_spread', 'model_price', 'model_spread'] colmapping={'Date': 'date', 'Name': 'index', 'Series': 'series', 'Version': 'version', 'Term': 'tenor', - 'Composite Price': 'closeprice', - 'Composite Spread': 'closespread', + 'Composite Price': 'close_price', + 'Composite Spread': 'close_spread', 'Model Price': 'modelprice', 'Model Spread': 'modelspread'} - ext_cols = ['date', 'index', 'series', 'version', 'tenor'] + cols + \ - ['adjcloseprice', 'adjmodelprice'] + ext_cols = ['date', 'index', 'series', 'version', 'tenor'] + cols dates_to_files = {} for f in filenames: @@ -163,14 +162,12 @@ def insert_index(engine, workdate=None): 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 = data.dropna(subset=['index']) - data['closespread'] *= 100 - data['modelspread'] *= 100 + data['close_spread'] *= 100 + data['model_spread'] *= 100 ## we renumbered the version for HY9, 10 and 11 data.loc[data.series.isin([9, 10, 11]) & (data.index=='HY'), 'version'] -= 3 - data['adjcloseprice'] = data['closeprice'] - data['adjmodelprice'] = data['modelprice'] - data = data.groupby(['index', 'series', 'tenor', 'date'], as_index=False).last() - data[ext_cols].to_sql('index_quotes', engine, if_exists='append', index=False) + #data = data.groupby(['index', 'series', 'tenor', 'date'], as_index=False).last() + data[ext_cols].to_sql('index_quotes_pre', engine, if_exists='append', index=False) def insert_tranche(engine, workdate=None): """insert Markit index quotes into the database |