diff options
Diffstat (limited to 'python')
| -rw-r--r-- | python/external_deriv_marks.py | 15 |
1 files changed, 9 insertions, 6 deletions
diff --git a/python/external_deriv_marks.py b/python/external_deriv_marks.py index ba002897..08d3418f 100644 --- a/python/external_deriv_marks.py +++ b/python/external_deriv_marks.py @@ -17,6 +17,7 @@ def gs_navs(): continue df['Trade Date'] = pd.to_datetime(df['Trade Date']) df = df[['Trade Date', 'Buy/Sell', 'Notional (USD)', 'NPV (USD)']] + df.columns = ['trade_date', 'buy/sell', 'notional', 'nav'] name = fname.name.replace("9972734", "") m = re.match(r"[^\d]*(\d{2}_.{3}_\d{4})", name) if m: @@ -32,6 +33,7 @@ def ms_navs(): df = pd.read_excel(fname, index_col='trade_id') df.trade_date = pd.to_datetime(df.trade_date) df = df[['trade_date', 'pay_rec', 'notional_in_trade_ccy', 'exposure_in_rpt_ccy']] + df.columns = ['trade_date', 'buy/sell', 'notional', 'nav'] m = re.match(r"[^\d]*(\d{8})", fname.name) if m: date_string, = m.groups() @@ -40,9 +42,10 @@ def ms_navs(): return pd.concat(d) if __name__ == "__main__": - df = gs_navs() - with dbconn('dawndb') as conn: - with conn.cursor() as c: - for k, v in df[['NPV (USD)']].iterrows(): - c.execute("INSERT INTO external_marks_deriv " - "VALUES(%s, %s, %s, %s) ON CONFLICT DO NOTHING", (*k, float(v), "GS")) + for cp in ["MS", "GS"]: + df = globals()[f"{cp.lower()}_navs"]() + with dbconn('dawndb') as conn: + with conn.cursor() as c: + for k, v in df[['nav']].iterrows(): + c.execute("INSERT INTO external_marks_deriv " + "VALUES(%s, %s, %s, %s) ON CONFLICT DO NOTHING", (*k, float(v), cp)) |