diff options
Diffstat (limited to 'python')
| -rw-r--r-- | python/import_quotes.py | 38 |
1 files changed, 20 insertions, 18 deletions
diff --git a/python/import_quotes.py b/python/import_quotes.py index c6586923..b5ac3474 100644 --- a/python/import_quotes.py +++ b/python/import_quotes.py @@ -91,7 +91,7 @@ def insert_index(database, 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] - name_mapping = {"CDXNAHY":"HY", "CDXNAIG":"IG",'ITraxx Eur': "EU"} + name_mapping = {"CDXNAHY":"HY", "CDXNAIG":"IG",'iTraxx Eur': "EU"} sqlstr = "INSERT INTO index_quotes VALUES(%s, %s, %s, %s, %s, %s, %s, %s, %s)" for f in filenames: @@ -106,6 +106,8 @@ def insert_index(database, workdate): data.set_index('Name', drop=False, inplace=True) data['Composite Spread'] = data['Composite Spread']*100 data['Model Spread'] = data['Model Spread']*100 + ## we renumbered the version for HY9, 10 and 11 + data.loc[data.Series.isin([9, 10, 11]) & (data.Name=='HY'),'Version'] -= 3 toinsert = [tuple(r) for r in data[["Date", "Name", "Series", "Version", "Term"]+cols].values] with database.cursor() as c: c.executemany(sqlstr, toinsert) @@ -118,21 +120,21 @@ if __name__=="__main__": workdate = datetime.datetime.today()-BDay(1) workdate = workdate.date() #insert_cds(serenitasdb, workdate) - #insert_index(serenitasdb, workdate) + insert_index(serenitasdb, 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() + # 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() |