diff options
Diffstat (limited to 'python/markit')
| -rw-r--r-- | python/markit/import_quotes.py | 7 |
1 files changed, 4 insertions, 3 deletions
diff --git a/python/markit/import_quotes.py b/python/markit/import_quotes.py index 9892478b..d32fdf6c 100644 --- a/python/markit/import_quotes.py +++ b/python/markit/import_quotes.py @@ -137,8 +137,8 @@ def insert_index(engine, workdate=None): 'Version': 'version', 'Term': 'tenor', 'Composite Price': 'close_price', 'Composite Spread': 'close_spread', - 'Model Price': 'modelprice', 'Model Spread': 'modelspread'} - ext_cols = ['date', 'index', 'series', 'version', 'tenor'] + cols + 'Model Price': 'model_price', 'Model Spread': 'model_spread'} + ext_cols = ['date', 'index', 'series', 'version', 'tenor'] + cols + ['source'] dates_to_files = {} for f in filenames: @@ -156,7 +156,7 @@ def insert_index(engine, workdate=None): for f in filenames: data = pd.read_csv(f, skiprows=2, parse_dates=[0, 7], engine='python') data = data.rename(columns=colmapping) - data.dropna(subset=['closeprice'], inplace=True) + data.dropna(subset=['close_price'], inplace=True) for col in cols: data[col] = data[col].str.replace('%', '').astype('float') data['tenor'] = data['tenor'].apply(lambda x: x.lower()+'r') @@ -167,6 +167,7 @@ def insert_index(engine, workdate=None): ## we renumbered the version for HY9, 10 and 11 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) def insert_tranche(engine, workdate=None): |