diff options
Diffstat (limited to 'python/position.py')
| -rw-r--r-- | python/position.py | 12 |
1 files changed, 6 insertions, 6 deletions
diff --git a/python/position.py b/python/position.py index dd142cf7..47ea1a46 100644 --- a/python/position.py +++ b/python/position.py @@ -115,11 +115,11 @@ def init_swap_rates(conn, session, tenors=[1, 2, 3, 4, 5, 6, 7, 8, 9, 10, 15, 20 ticker = f"USISDA{t:02} Index" sql_str = f'INSERT INTO USD_swap_fixings(fixing_date, "{t}y") ' + \ 'VALUES(%s, %s) ON CONFLICT (fixing_date)' + \ - f' DO UPDATE SET "{t}y" = %s' + f' DO UPDATE SET "{t}y" = excluded."{t}y"' with conn.cursor() as c: c.executemany(sql_str, - [(d, r, r) for d, r in data[ticker]['PX_LAST'].items()]) + [(d, r) for d, r in data[ticker]['PX_LAST'].items()]) conn.commit() def init_swaption_vol(session, @@ -156,13 +156,13 @@ def insert_swaption_vol(data, conn, source, vol_type="N"): for t in tenors[-14:]: sql_str = f'INSERT INTO {table_name}(date, "{t}y", source) ' + \ 'VALUES(%s, %s, %s) ON CONFLICT (date, source)' + \ - f' DO UPDATE SET "{t}y" = %s, source = %s' + f' DO UPDATE SET "{t}y" = excluded."{t}y", source = excluded.source' with conn.cursor() as c: df_temp = df.xs(t, axis=1, level=1).reindex(tenors, axis=1) for k, v in df_temp.iterrows(): if np.all(np.isnan(v.values)): continue - c.execute(sql_str, (k, v.tolist(), source, v.tolist(), source)) + c.execute(sql_str, (k, v.tolist(), source)) conn.commit() def update_swaption_vol(conn, session, @@ -186,7 +186,7 @@ def update_swaption_vol(conn, session, for t in tenors[4:]: sql_str = f'INSERT INTO {table_name}(date, "{t}y", source) ' + \ 'VALUES(%s, %s, %s) ON CONFLICT (date, source)' + \ - f' DO UPDATE SET "{t}y" = %s, source = %s' + f' DO UPDATE SET "{t}y" = excluded."{t}y", source = excluded.source' r = [] dates = [] for expiry in tenors: @@ -201,7 +201,7 @@ def update_swaption_vol(conn, session, if dates.count(dates[0]) < len(dates): raise ValueError('Not all quotes are from the same date') with conn.cursor() as c: - c.execute(sql_str, (dates[0], r, source, r, source)) + c.execute(sql_str, (dates[0], r, source)) conn.commit() def update_swap_rates(conn, session, |