diff options
Diffstat (limited to 'python')
| -rw-r--r-- | python/build_default_table.py | 3 | ||||
| -rw-r--r-- | python/collateral_calc.py | 7 | ||||
| -rw-r--r-- | python/markit_red.py | 6 | ||||
| -rw-r--r-- | python/thetas-durations.py | 3 | ||||
| -rw-r--r-- | python/yieldcurve.py | 11 |
5 files changed, 13 insertions, 17 deletions
diff --git a/python/build_default_table.py b/python/build_default_table.py index 7a4318b2..56f1cf51 100644 --- a/python/build_default_table.py +++ b/python/build_default_table.py @@ -1,6 +1,6 @@ import pandas as pd from bbg_helpers import init_bbg_session, BBG_IP, retrieve_data -from db import dbengine +from db import serenitas_engine indices = ["CDX HY CDSI S19 5Y", "ITRX XOVER CDSI S25 5Y", "CDX HY CDSI S15 5Y", "ITRX XOVER CDSI S20 5Y", "CDX HY CDSI S25 5Y", @@ -15,5 +15,4 @@ df = df[~df.duplicated(['Company ID'])] breakpoint() df = df[['Company ID', 'Auction Date', 'Event Date', 'CDS Recovery Rate']] df.columns = ['id', 'auction_date', 'event_date', 'recovery'] -serenitas_engine = dbengine('serenitasdb') df.to_sql('defaulted', serenitas_engine, if_exists='append', index=False) diff --git a/python/collateral_calc.py b/python/collateral_calc.py index 7b3ab6d3..de9f0960 100644 --- a/python/collateral_calc.py +++ b/python/collateral_calc.py @@ -2,7 +2,7 @@ import os import logging import pandas as pd -from db import dbengine +from db import dawn_engine from exchange import ExchangeMessage from exchangelib import HTMLBody from pathlib import Path @@ -147,7 +147,6 @@ def download_citi_emails(count=20): p.write_bytes(attach.content) def baml_collateral(d): - dawn_engine = dbengine("dawndb") df = pd.read_csv(DAILY_DIR / "BAML_reports" / f"OTC_Open_Positions_-_Credit_-_LMCG_{d:%Y%m%d}.CSV", usecols=['MTM', 'ACCRUEDCPN', 'VARMARGIN', 'REDCODE', @@ -229,7 +228,7 @@ def sg_collateral(d): df = df.groupby(['index_type', 'series', 'tenor'])['Collateral'].sum() positions = pd.read_sql_query("SELECT security_desc, folder, notional, currency " "FROM list_cds_positions_by_strat(%s)", - dbengine("dawndb"), params=(d.date(),)) + dawn_engine, params=(d.date(),)) instruments = positions.security_desc.str.split(expand=True)[[1, 3, 4]] instruments.columns = ['index_type', 'series', 'tenor'] instruments.series = instruments.series.str.extract("S(\d+)") @@ -259,7 +258,7 @@ def sg_collateral(d): 'Currency': 'currency'}) df_margin['date'] = d try: - df_margin.to_sql("fcm_im", dbengine("dawndb"), if_exists='append', index=False) + df_margin.to_sql("fcm_im", dawn_engine, if_exists='append', index=False) except IntegrityError: pass return df diff --git a/python/markit_red.py b/python/markit_red.py index 290a45cd..831ba90b 100644 --- a/python/markit_red.py +++ b/python/markit_red.py @@ -6,7 +6,7 @@ import shutil import zipfile from pathlib import Path from lxml import etree -from db import with_connection, dbengine +from db import serenitas_engine import pandas as pd def request_payload(payload): @@ -37,8 +37,7 @@ def download_report(report): else: yield request_payload(payload) -@with_connection('serenitasdb') -def update_redcodes(conn, fname): +def update_redcodes(fname): with open(os.path.join(os.environ['BASE_DIR'], "Tranche_data", "RED_reports", fname)) as fh: et = etree.parse(fh) data_version = [] @@ -56,7 +55,6 @@ def update_redcodes(conn, fname): df_version['activeversion'] = df_version['activeversion'].map({'Y': True, None: False}) df_maturity.tenor = df_maturity['tenor'].map(lambda s: s.lower() + 'r') df_maturity.coupon = (pd.to_numeric(df_maturity.coupon) * 10000).astype(int) - serenitas_engine = dbengine('serenitasdb') df_version.to_sql("index_version_markit", serenitas_engine, index=False, if_exists='append') df_maturity.to_sql("index_maturity_markit", serenitas_engine, index=False, if_exists='append') diff --git a/python/thetas-durations.py b/python/thetas-durations.py index 07e6cb03..b3d2e7cf 100644 --- a/python/thetas-durations.py +++ b/python/thetas-durations.py @@ -5,12 +5,11 @@ from analytics.utils import tenor_t from pandas.tseries.offsets import BDay from dateutil.relativedelta import relativedelta from yieldcurve import get_curve -from db import dbengine +from db import serenitas_engine from pyisda.legs import FeeLeg, ContingentLeg from pyisda.curve import SpreadCurve from pyisda.date import previous_twentieth -serenitas_engine = dbengine('serenitasdb') tenors = {"IG": ("3yr", "5yr", "7yr", "10yr"), "HY": ("3yr", "5yr", "7yr"), "EU": ("3yr", "5yr", "7yr", "10yr"), 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__": |