diff options
Diffstat (limited to 'python/parse_gs.py')
| -rw-r--r-- | python/parse_gs.py | 22 |
1 files changed, 12 insertions, 10 deletions
diff --git a/python/parse_gs.py b/python/parse_gs.py index 7a0ec006..3e25c6cb 100644 --- a/python/parse_gs.py +++ b/python/parse_gs.py @@ -7,7 +7,6 @@ data_dir = "/home/share/guillaume/swaptions" all_df = {} fwd_index = [] for f in os.listdir(data_dir): - print(f) with open(os.path.join(data_dir, f), "rb") as fh: flag = False masterdf = {} @@ -65,7 +64,7 @@ for f in os.listdir(data_dir): df.set_index('Strike', inplace=True) d = {'quotedate': quotedate, 'expiry': date, - 'indextype': indextype, + 'index': indextype, 'series': series, 'ref': refspread if indextype =="IG" else refprice} if indextype == "IG": @@ -79,19 +78,22 @@ for f in os.listdir(data_dir): r = [] continue all_df[(quotedate, indextype, series)] = pd.concat(masterdf, names=['expiry']) -all_df = pd.concat(all_df, names = ['quotedate', 'indextype', 'series']) +all_df = pd.concat(all_df, names = ['quotedate', 'index', 'series']) all_df['DeltaPay'] = - all_df['DeltaPay']/100 -index_df = pd.DataFrame.from_records(fwd_index) -# with pd.HDFStore('../../data/swaptions_gs.hdf', mode = 'w', complevel=4, -# complib='blosc', fletcher32=True) as swaptions: -# swaptions.append('swaptions', all_df) -# swaptions.append('index_data', index_df) +index_df = pd.DataFrame(fwd_index) + +all_df.reset_index(inplace=True) all_df = all_df.rename(columns={'Strike':'strike', 'Vol': 'vol', 'PayOffer': 'pay_offer', 'PayBid': 'pay_bid', - 'RecOffer': 'rec_offer' + 'RecOffer': 'rec_offer', 'RecBid': 'rec_bid', 'Tail': 'tail', 'DeltaPay': 'delta_pay'}) -}) +del all_df['VolBpd'], all_df['VolChg'], 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.to_sql('swaption_ref_quotes', serenitasdb, if_exists='append', index=False) |