diff options
Diffstat (limited to 'python')
| -rw-r--r-- | python/adj_index_price.py | 37 |
1 files changed, 37 insertions, 0 deletions
diff --git a/python/adj_index_price.py b/python/adj_index_price.py new file mode 100644 index 00000000..2b8c6103 --- /dev/null +++ b/python/adj_index_price.py @@ -0,0 +1,37 @@ +from sqlalchemy import create_engine, MetaData, Table, bindparam +import pandas as pd +import pdb + +#index='HY' +#series=[10, 11, 13, 15, 17, 19, 21, 23] +index='IG' +series= [9, 11, 13, 15, 17, 19, 21, 23] +engine = create_engine('postgresql://serenitas_user:Serenitas1@debian/serenitasdb') +metadata = MetaData(bind=engine) +index_quotes= Table('index_quotes', metadata, autoload=True) + +for s in series: + factors = pd.read_sql_query("select lastdate, indexfactor, cumulativeloss from index_version " \ + "where index=%s and series=%s", engine, params = (index, s), + parse_dates = ['lastdate']) + factors['recovery'] = 1+factors.cumulativeloss.diff(-1) + for t in ['3yr', '5yr', '7yr', '10yr']: + df = pd.read_sql_query("select date as b_date, version, closeprice, modelprice from index_quotes " \ + "where index=%s and series=%s and tenor=%s", + engine, params = (index, s, t), parse_dates =['b_date']) + df.sort_index(inplace=True) + df['adjcloseprice'] = df['closeprice'] + df['adjmodelprice'] = df['modelprice'] + + for i in range(factors.shape[0]-1): + r = factors.ix[i].indexfactor/factors.ix[i+1].indexfactor + df.ix[df.version<=i+1,['adjcloseprice', 'adjmodelprice']] *= r + df.ix[df.version<=i+1,['adjcloseprice', 'adjmodelprice']] -= (r-1) * factors.ix[i].recovery * 100 + + del df['closeprice'] + del df['modelprice'] + stmt = index_quotes.update().where((index_quotes.c.date==bindparam('b_date')) & + (index_quotes.c.index==index) & + (index_quotes.c.series==s) & + (index_quotes.c.tenor==t)) + engine.execute(stmt, df.to_dict(orient='record')) |