diff options
Diffstat (limited to 'python/parse_gs.py')
| -rw-r--r-- | python/parse_gs.py | 8 |
1 files changed, 6 insertions, 2 deletions
diff --git a/python/parse_gs.py b/python/parse_gs.py index 3e25c6cb..b58065ee 100644 --- a/python/parse_gs.py +++ b/python/parse_gs.py @@ -3,7 +3,7 @@ import pdb import re import os -data_dir = "/home/share/guillaume/swaptions" +data_dir = "/home/share/guillaume/IG swaptions" all_df = {} fwd_index = [] for f in os.listdir(data_dir): @@ -80,6 +80,7 @@ for f in os.listdir(data_dir): all_df[(quotedate, indextype, series)] = pd.concat(masterdf, names=['expiry']) all_df = pd.concat(all_df, names = ['quotedate', 'index', 'series']) all_df['DeltaPay'] = - all_df['DeltaPay']/100 +all_df['Vol'] /= 100 index_df = pd.DataFrame(fwd_index) all_df.reset_index(inplace=True) @@ -91,9 +92,12 @@ all_df = all_df.rename(columns={'Strike':'strike', 'RecBid': 'rec_bid', 'Tail': 'tail', 'DeltaPay': 'delta_pay'}) -del all_df['VolBpd'], all_df['VolChg'], all_df['Sprd'] +del all_df['VolBpd'], all_df['VolChg'] +if 'Sprd' in all_df: + del all_df['Sprd'] all_df['quote_source'] = 'GS' from db import dbengine serenitasdb = dbengine('serenitasdb') all_df.to_sql('swaption_quotes', serenitasdb, if_exists='append', index=False) +index_df = index_df.drop_duplicates(['quotedate', 'index', 'series', 'expiry']) index_df.to_sql('swaption_ref_quotes', serenitasdb, if_exists='append', index=False) |