diff options
Diffstat (limited to 'python')
| -rw-r--r-- | python/analytics/index_data.py | 8 | ||||
| -rw-r--r-- | python/notebooks/risk_sabo.ipynb | 42 |
2 files changed, 10 insertions, 40 deletions
diff --git a/python/analytics/index_data.py b/python/analytics/index_data.py index 61d283e7..89c2754d 100644 --- a/python/analytics/index_data.py +++ b/python/analytics/index_data.py @@ -269,13 +269,15 @@ def get_singlenames_curves_prebuilt(conn, index_type, series, trade_date): def load_all_curves(conn, trade_date): with conn.cursor() as c: c.execute( - "SELECT curve, referenceentity FROM cds_curves " + "SELECT curve, referenceentity, company_id FROM cds_curves " "LEFT JOIN refentity ON redcode=redentitycode WHERE date=%s", (trade_date,), ) - r = [(name, SpreadCurve.from_bytes(b, True)) for (b, name) in c] + r = [(name, SpreadCurve.from_bytes(b, True), cid) for (b, name, cid) in c] r = pd.DataFrame.from_records( - r, columns=["name", "curve"], index=[c.full_ticker for _, c in r] + r, + columns=["name", "curve", "company_id"], + index=[c.full_ticker for _, c, _ in r], ) return r.loc[r.index.drop_duplicates()] diff --git a/python/notebooks/risk_sabo.ipynb b/python/notebooks/risk_sabo.ipynb index ccfea2bc..5106056c 100644 --- a/python/notebooks/risk_sabo.ipynb +++ b/python/notebooks/risk_sabo.ipynb @@ -3,11 +3,7 @@ { "cell_type": "code", "execution_count": null, - "metadata": { - "jupyter": { - "source_hidden": true - } - }, + "metadata": {}, "outputs": [], "source": [ "import datetime\n", @@ -96,37 +92,7 @@ "from utils.db import serenitas_pool\n", "conn = serenitas_pool.getconn()\n", "surv_curves = load_all_curves(conn, spread_date)\n", - "serenitas_pool.putconn(conn)\n", - "surv_prob = surv_curves['curve'].apply(lambda sc: pd.Series(sc.survival_probability(jtd.columns.date), index=jtd.columns))\n", - "surv_prob = surv_prob.loc[jtd.index]" - ] - }, - { - "cell_type": "code", - "execution_count": null, - "metadata": {}, - "outputs": [], - "source": [ - "jtd = (1-surv_prob) * jtd\n", - "jtd = jtd.groupby(jtd.index.str.extract(\"([^_]*)\", expand=False)).sum()" - ] - }, - { - "cell_type": "code", - "execution_count": null, - "metadata": {}, - "outputs": [], - "source": [ - "jtd" - ] - }, - { - "cell_type": "code", - "execution_count": null, - "metadata": {}, - "outputs": [], - "source": [ - "ref_names = surv_curves.groupby(surv_curves.index.str.extract(\"([^_]*)\", expand=False))['name'].first()" + "serenitas_pool.putconn(conn)" ] }, { @@ -135,7 +101,9 @@ "metadata": {}, "outputs": [], "source": [ - "ref_names[jtd.index]" + "jtd_sabo = jtd[[jtd.columns[0]]].join(surv_curves.groupby(level=0).first()[['name', 'company_id']])\n", + "jtd_sabo.columns = ['jtd', 'name', 'company_id']\n", + "jtd_sabo.to_csv(base_dir / f\"jtd_{position_date:%Y%m%d}.csv\")" ] }, { |