diff options
Diffstat (limited to 'python')
| -rw-r--r-- | python/calibrate_tranches_BC.py | 9 | ||||
| -rw-r--r-- | python/cds_curve.py | 4 |
2 files changed, 3 insertions, 10 deletions
diff --git a/python/calibrate_tranches_BC.py b/python/calibrate_tranches_BC.py index 3e28b1d9..7788e5ae 100644 --- a/python/calibrate_tranches_BC.py +++ b/python/calibrate_tranches_BC.py @@ -1,4 +1,3 @@ -from math import isnan from serenitas.analytics.tranche_basket import TrancheBasket, MarkitTrancheBasket from serenitas.analytics.dates import prev_business_day import datetime @@ -37,7 +36,7 @@ def build_sql_str(df, use_markit=False): if __name__ == "__main__": from serenitas.utils import SerenitasFileHandler - from serenitas.utils.db2 import serenitas_pool + from serenitas.utils.db2 import serenitas_pool, NaNtoNone from serenitas.utils.env import CONFIG_DIR logger = logging.getLogger("tranche_calib") @@ -226,12 +225,6 @@ if __name__ == "__main__": df["calibrated_price"] = tranche_index.tranche_pvs().bond_price data[d] = df - def NaNtoNone(v): - if isinstance(v, float) and isnan(v): - return None - else: - return v - if data: data = pd.concat(data) sql_str = build_sql_str(data, args.markit) diff --git a/python/cds_curve.py b/python/cds_curve.py index 14637c2e..7c5b79f3 100644 --- a/python/cds_curve.py +++ b/python/cds_curve.py @@ -7,7 +7,7 @@ import logging import pandas as pd from serenitas.utils import SerenitasFileHandler -from serenitas.utils.db2 import serenitas_pool +from serenitas.utils.db2 import serenitas_pool, NaNtoNone logger = logging.getLogger(__name__) @@ -125,6 +125,6 @@ if __name__ == "__main__": c.execute( "INSERT INTO index_risk2 VALUES(%s, %s, %s, %s, %s, %s) ON CONFLICT (id) " f"DO UPDATE SET {update_str}", - (id,) + tuple(t), + tuple(map(NaNtoNone, (id,) + tuple(t))), ) conn.commit() |