1 files changed, 22 insertions, 0 deletions
diff --git a/python/compute_price.py b/python/compute_price.py
new file mode 100644
index 00000000..2d9f29e8
--- /dev/null
+++ b/python/compute_price.py
@@ -0,0 +1,22 @@
+from db import dbconn
+from analytics import Index
+serenitasdb = dbconn('serenitasdb')
+to_insert = []
+with serenitasdb.cursor() as c:
+    c.execute("SELECT date, index, series, version, tenor, closespread FROM "
+              "index_quotes WHERE closespread IS NOT NULL and closeprice is NULL")
+    for r in c:
+        index = Index.from_name(r['index'], r['series'], r['tenor'], value_date=r['date'],
+                                notional=100)
+        try:
+            index.spread = r['closespread']
+        except ValueError:
+            continue
+        else:
+            to_insert.append(
+                (index.price, r['index'], r['series'], r['tenor'], r['version'], r['date']))
+with serenitasdb.cursor() as c:
+    c.executemany("UPDATE index_quotes SET closeprice=%s WHERE index=%s AND "
+                  "series=%s AND tenor=%s AND version=%s AND date=%s",
+                  to_insert)
+serenitasdb.commit()