diff options
Diffstat (limited to 'python/yieldcurve.py')
| -rw-r--r-- | python/yieldcurve.py | 11 |
1 files changed, 6 insertions, 5 deletions
diff --git a/python/yieldcurve.py b/python/yieldcurve.py index 007115e0..230a7acd 100644 --- a/python/yieldcurve.py +++ b/python/yieldcurve.py @@ -18,7 +18,7 @@ from quantlib.time.date import pydate_from_qldate import numpy as np from quantlib.quotes import SimpleQuote -from db import dbconn, dbengine +from db import serenitas_engine from pyisda.curve import YieldCurve from pyisda.date import BadDay import warnings @@ -30,7 +30,7 @@ def load_curves(currency="USD", date=None): if date: sql_str += " WHERE effective_date=%s" - with closing(dbconn('serenitasdb')) as conn: + with closing(serenitas_engine.raw_connection()) as conn: with conn.cursor() as c: if date: c.execute(sql_str, (date,)) @@ -226,8 +226,8 @@ def build_curves(currency="USD"): isda_ibor = IborIndex("IsdaIbor", Period(6, Months), 2, EURCurrency(), calendar, ModifiedFollowing, False, Actual360()) fix_freq = Annual - engine = dbengine('serenitasdb') - rates = pd.read_sql_table('{}_rates'.format(currency.lower()), engine, + rates = pd.read_sql_table('{}_rates'.format(currency.lower()), + serenitas_engine, index_col='effective_date') quotes = [SimpleQuote() for c in rates.columns] gen = zip(quotes, rates.columns) @@ -237,7 +237,7 @@ def build_curves(currency="USD"): fix_freq, ModifiedFollowing, Thirty360(), isda_ibor) for q, t in gen] sql_str = f"INSERT INTO {currency}_curves VALUES(%s, %s) ON CONFLICT DO NOTHING" - conn = dbconn('serenitasdb') + conn = serenitas_engine.raw_connection() for effective_date, curve_data in rates.iterrows(): print(effective_date) settings.evaluation_date = Date.from_datetime(effective_date) @@ -253,6 +253,7 @@ def build_curves(currency="USD"): with conn.cursor() as c: c.execute(sql_str, (effective_date, lz4.block.compress(jp_yc.__getstate__()))) conn.commit() + conn.close() if __name__ == "__main__": |