1 files changed, 53 insertions, 0 deletions
diff --git a/python/markit/rates.py b/python/markit/rates.py
index 470cfcc0..29a39465 100644
--- a/python/markit/rates.py
+++ b/python/markit/rates.py
@@ -11,6 +11,59 @@ from serenitas.analytics.bbg_helpers import retrieve_data
 from serenitas.analytics.dates import prev_business_day
 
 
+def downloadMarkitOISData(conn, download_date=datetime.date.today(), currency="USD"):
+    base_dir = DATA_DIR / "Yield Curves"
+    url = f"https://rfr.ihsmarkit.com/InterestRates_USD_{download_date:%Y%m%d}.zip?email=ghorel@lmcg.com"
+    curve_file = base_dir / f"InterestRatesOIS_{currency}_{download_date:%Y%m%d}.xml"
+    if not curve_file.exists():
+        r = requests.get(url)
+        if "zip" in r.headers["content-type"]:
+            with zipfile.ZipFile(BytesIO(r.content)) as z:
+                for f in z.filelist:
+                    if f.filename.endswith("xml"):
+                        f.filename = curve_file.name
+                        z.extract(f, path=base_dir)
+        else:
+            raise ValueError(r.content.decode().rstrip())
+
+    tree = ET.parse(curve_file)
+    ois = zip(
+        [e.text for e in tree.findall(".//ois/*/tenor")],
+        [float(e.text) for e in tree.findall(".//ois/*/parrate")],
+    )
+    effectiveasof = tree.find(".//effectiveasof").text
+    MarkitData = {
+        "ois": list(ois),
+        "effectiveasof": datetime.date.fromisoformat(effectiveasof),
+    }
+    ql_yc = YC(
+        currency=currency,
+        MarkitData=MarkitData,
+        evaluation_date=MarkitData["effectiveasof"],
+    )
+    jp_yc = ql_to_jp(ql_yc)
+    sql_str = f"INSERT INTO {currency}_OIS_curves VALUES(%s, %s) ON CONFLICT DO NOTHING"
+    with conn.cursor() as c:
+        c.execute(
+            sql_str,
+            (MarkitData["effectiveasof"], jp_yc.__getstate__()),
+        )
+    instruments = MarkitData["ois"]
+    names = sql.SQL(", ").join([sql.Identifier(r[0]) for r in instruments])
+    values = sql.SQL(", ").join(
+        sql.Placeholder() * (len(instruments) + 1)
+    )  # +1 for effective_date
+    insert_str = sql.SQL(
+        f"INSERT INTO {currency}_OIS_rates(effective_date, {{}}) VALUES({{}}) "
+        "ON CONFLICT DO NOTHING"
+    ).format(names, values)
+    with conn.cursor() as c:
+        c.execute(
+            insert_str, [MarkitData["effectiveasof"]] + [r[1] for r in instruments]
+        )
+    conn.commit()
+
+
 def downloadMarkitIRData(conn, download_date=datetime.date.today(), currency="USD"):
     base_dir = DATA_DIR / "Yield Curves"
     curve_file = base_dir / f"InterestRates_{currency}_{download_date:%Y%m%d}.xml"