diff options
Diffstat (limited to 'python')
| -rw-r--r-- | python/import_quotes.py | 100 |
1 files changed, 37 insertions, 63 deletions
diff --git a/python/import_quotes.py b/python/import_quotes.py index 866ac54b..e87e8a6c 100644 --- a/python/import_quotes.py +++ b/python/import_quotes.py @@ -19,34 +19,44 @@ def convert(x): index_list = ['HY9', 'HY10', 'HY15', 'HY17', 'HY19', 'HY21', 'HY22', 'HY23', 'IG9', 'IG19', 'IG21', 'IG22', 'IG23', 'XO22', 'EU9', 'EU19', 'EU21'] -def doc_clause_from_index(index, date): - if index[:2] in ['HY', 'IG']: - if date>=datetime.date(2014, 9, 19): - return 'XR14' - else: - return 'XR' - else: - if date>=datetime.date(2014, 9, 19): - return 'MM14' - else: - return 'MM' +doc_clause_mapping14 = {'Full Restructuring': 'MM14', + 'No Restructuring': 'XR14', + 'Modified Modified Restructurin': 'MM14'} -def get_current_tickers(database, workdate): - sqlstr = "SELECT markit_ticker, markit_tier, spread, currency, cds_curve from index_members(%s, %s)" +doc_clause_mapping = {'Full Restructuring': 'MM', + 'No Restructuring': 'XR', + 'Modified Modified Restructurin': 'MM'} + +def get_markit_bbg_mapping(database, basketid_list, workdate): + if workdate>=datetime.date(2014, 9, 19): + doc_clause_mapping = doc_clause_mapping14 markit_bbg_mapping = {} all_tickers = set([]) - for index in index_list: - doc_clause = doc_clause_from_index(index, workdate) - with database.cursor() as c: - c.execute(sqlstr, (index, workdate)) - for line in c: - all_tickers.add((line['markit_ticker'], line['markit_tier'])) - key = (line['markit_ticker'], line['markit_tier'], line['currency'], - doc_clause, float(line['spread'])/10000) - markit_bbg_mapping[key] = line['cds_curve'] - + with database.cursor() as c: + c.execute("SELECT markit_ticker, markit_tier, spread, currency, cds_curve, " \ + " doc_clause FROM cds_issuers where index_list && %s", (basketid_list,)) + for line in c: + all_tickers.add((line['markit_ticker'], line['markit_tier'])) + key = (line['markit_ticker'], line['markit_tier'], line['currency'], + doc_clause_mapping[line['doc_clause']], float(line['spread'])/10000) + markit_bbg_mapping[key] = line['cds_curve'] + database.commit() return (all_tickers, markit_bbg_mapping) + +def get_basketids(database, index_list, workdate): + r = [] + with database.cursor() as c: + for index in index_list: + c.execute("SELECT * FROM nameToBasketID(%s, %s)", (index, workdate)) + r.append(c.fetchone()[0]) + database.commit() + return r + +def get_current_tickers(database, workdate): + basketid_list = get_basketids(database, index_list, workdate) + return get_markit_bbg_mapping(database, basketid_list, workdate) + def insert_cds(database, workdate): all_tickers, markit_bbg_mapping = get_current_tickers(database, workdate) filename = "cds eod {0}.csv".format(datetime.datetime.strftime(workdate, "%Y%m%d")) @@ -73,27 +83,6 @@ def insert_cds(database, workdate): database.commit() print(all_tickers-tickers_found) -def insert_cds_single(database, workdate, bbg_tickers, mkt_tuple): - filename = "cds eod {0}.csv".format(datetime.datetime.strftime(workdate, "%Y%m%d")) - colnames = ['Upfront'+tenor for tenor in ['6m', '1y', '2y', '3y', '4y', '5y', '7y', '10y']] - sqlstr = "INSERT INTO cds_quotes(date, curve_ticker, upfrontbid, upfrontask," \ - "runningbid, runningask, source, recovery) VALUES(%s, %s, %s, %s, %s, %s, %s, %s)" - with open(os.path.join(root, "Tranche_data", "CDS", filename)) as fh: - csvreader = csv.DictReader(fh) - with database.cursor() as c: - for line in csvreader: - if (line['Ticker'], line['Tier'], line['DocClause'], line['RunningCoupon'], line['Ccy']) == \ - mkt_tuple: - try: - c.executemany(sqlstr, - [(workdate, t, convert(line[colnames[i]]), convert(line[colnames[i]]), - float(line['RunningCoupon'])*10000, float(line['RunningCoupon'])*10000, - 'MKIT', convert(line['RealRecovery'])/100) - for i, t in enumerate(bbg_tickers)]) - except psycopg2.IntegrityError: - database.rollback() - database.commit() - def insert_index(engine, workdate): basedir = os.path.join(root, 'Tranche_data', 'Composite_reports') filenames = [os.path.join(basedir, f) for f in os.listdir(basedir) if 'Indices' in f] @@ -131,27 +120,12 @@ if __name__=="__main__": workdate = workdate.date() engine = create_engine('postgresql://serenitas_user:Serenitas1@debian/serenitasdb') insert_cds(serenitasdb, workdate) - insert_index(engine, workdate) - ## backpopulate single ticker - # company_id = 16632863 - # with serenitasdb.cursor() as c: - # c.execute("select cds_curve, markit_ticker, markit_tier from cds_issuers where company_id=%s", - # (company_id,)) - # tup=c.fetchone() - # bbg_tickers= tup[0] - # for f in os.listdir(os.path.join(root, "Tranche_data", "CDS")): - # if f.endswith("csv"): - # workdate = datetime.datetime.strptime(f.split(" ")[2].split(".")[0], "%Y%m%d") - # workdate = workdate.date() - # if workdate >= datetime.date(2014, 9, 19): - # mkt_tuple = (tup[1], tup[2]) + ('XR14', '0.05', 'USD') - # else: - # mkt_tuple = (tup[1], tup[2]) + ('XR', '0.05', 'USD') - # insert_cds_single(serenitasdb, workdate, bbg_tickers, mkt_tuple) - # serenitasdb.close() + # insert_index(engine, workdate) + serenitasdb.close() + # for f in os.listdir(os.path.join(root, "Tranche_data", "CDS")): # if f.endswith("csv"): # workdate = datetime.datetime.strptime(f.split(" ")[2].split(".")[0], "%Y%m%d") # workdate = workdate.date() # insert_cds(serenitasdb, workdate) - serenitasdb.close() + # serenitasdb.close() |