diff options
Diffstat (limited to 'python')
| -rw-r--r-- | python/calibrate_tranches_BC.py | 12 |
1 files changed, 8 insertions, 4 deletions
diff --git a/python/calibrate_tranches_BC.py b/python/calibrate_tranches_BC.py index e8ce2c2f..bda7ed6f 100644 --- a/python/calibrate_tranches_BC.py +++ b/python/calibrate_tranches_BC.py @@ -1,5 +1,5 @@ from utils.db import dbconn -from analytics import TrancheBasket +from analytics.tranche_basket import TrancheBasket, MarkitTrancheBasket from pandas.tseries.offsets import BDay import datetime import logging @@ -23,13 +23,13 @@ def get_lastdate(conn, index, series, tenor): return date -def build_sql_str(df): +def build_sql_str(df, use_markit=False): cols = ",".join(df.columns) cols_ex_tranche_id = ",".join([c for c in df.columns if c != "tranche_id"]) cols_excluded = ",".join([f"excluded.{c}" for c in df.columns if c != "tranche_id"]) place_holders = ",".join([f"%({c})s" for c in df.columns]) sql_str = ( - f"INSERT INTO tranche_risk({cols}) " + f"INSERT INTO {'markit_' if use_markit else ''}tranche_risk({cols}) " f"VALUES({place_holders}) ON CONFLICT (tranche_id) DO " f"UPDATE SET ({cols_ex_tranche_id}) = ({cols_excluded})" ) @@ -68,8 +68,12 @@ if __name__ == "__main__": parser.add_argument( "-s", "--skewtype", action="store", help="skew type", default="bottomup" ) + parser.add_argument("-m", "--markit", action="store_true", help="Use Markit quotes") args = parser.parse_args() logger.setLevel(logging.DEBUG if args.debug else logging.INFO) + if args.markit: + TrancheBasket = MarkitTrancheBasket + CODE_DIR = Path(os.environ["CODE_DIR"]) if not args.debug: handler = SerenitasFileHandler(f"calib_tranches_{datetime.date.today()}.log") @@ -199,7 +203,7 @@ if __name__ == "__main__": if data: data = pd.concat(data) - sql_str = build_sql_str(data) + sql_str = build_sql_str(data, args.markit) with serenitas_conn.cursor() as c: c.executemany(sql_str, data.to_dict(orient="record")) serenitas_conn.commit() |