diff options
Diffstat (limited to 'python/position.py')
| -rw-r--r-- | python/position.py | 13 |
1 files changed, 8 insertions, 5 deletions
diff --git a/python/position.py b/python/position.py index f4420e10..3ecab213 100644 --- a/python/position.py +++ b/python/position.py @@ -73,16 +73,19 @@ def populate_cashflow_history(session, conn, workdate): securities['bbg_id'] = securities.cusip.where(securities.cusip.notnull(), securities['isin']) + \ ' ' + securities.bbg_type securities.set_index('bbg_id', inplace=True) - data = retrieve_data(session, securities.index.tolist(), ['HIST_CASH_FLOW']) + #we also download MTG_HIST_CPN because the data is more accurate + data = retrieve_data(session, securities.index.tolist(), ['HIST_CASH_FLOW', 'MTG_HIST_CPN']) for k, v in data.items(): - to_insert = v.get('HIST_CASH_FLOW') - if to_insert is not None: + hist_cf = v.get('HIST_CASH_FLOW') + hist_cpn = v.get('MTG_HIST_CPN') + if hist_cf is not None: identifier = securities.loc[k,'identifier'] - to_insert['identifier'] = identifier + hist_cf['identifier'] = identifier + to_insert = hist_cf.merge(hist_cpn, left_on='Payment Date', right_on='Payment Date') with conn.cursor() as c: c.execute("DELETE FROM cashflow_history WHERE identifier=%s", (identifier,)) conn.commit() - to_insert.rename(columns={'Coupon': 'coupon', + to_insert.rename(columns={'Coupon_y': 'coupon', 'Interest': 'interest', 'Payment Date': 'date', 'Principal Balance': 'principal_bal', |