diff options
Diffstat (limited to 'python')
| -rw-r--r-- | python/markit/import_quotes.py | 45 | ||||
| m--------- | python/pyisda | 0 |
2 files changed, 31 insertions, 14 deletions
diff --git a/python/markit/import_quotes.py b/python/markit/import_quotes.py index 9947b8dd..39f9ee9e 100644 --- a/python/markit/import_quotes.py +++ b/python/markit/import_quotes.py @@ -143,6 +143,12 @@ def insert_cds(database, workdate): "SECDOM": 1, "SNRLAC": 2, } + with database.cursor() as c: + c.execute("SELECT id, seniority, event_date FROM defaulted") + default_table = { + (cid, Seniority[seniority]): event_date for cid, seniority, event_date in c + } + with open( os.path.join(os.environ["BASE_DIR"], "Tranche_data", "CDS", filename) ) as fh: @@ -161,20 +167,31 @@ def insert_cds(database, workdate): upfront_rates = np.array([convert(line[c]) / 100 for c in colnames]) recovery_rates = np.full(8, convert(line["RealRecovery"]) / 100) coupon_rates = coupon_100 if spread == 100 else coupon_500 - sc = SpreadCurve( - workdate, - yc_dict[k.currency], - None, - None, - None, - tenors, - coupon_rates, - upfront_rates, - recovery_rates, - ticker=k.ticker, - seniority=seniority_mapping[k.tier], - doc_clause=DocClause[k.short_code], - ) + for _, bbg_id in markit_bbg_mapping[k]: + if event_date := default_table.get(bbg_id, False): + if workdate >= event_date: + defaulted = event_date + break + else: + defaulted = None + try: + sc = SpreadCurve( + workdate, + yc_dict[k.currency], + None, + None, + None, + tenors, + coupon_rates, + upfront_rates, + recovery_rates, + ticker=k.ticker, + seniority=seniority_mapping[k.tier], + doc_clause=DocClause[k.short_code], + defaulted=defaulted, + ) + except ValueError: + logging.error(f"couldn't build curve for {k.ticker}") buf = sc.as_buffer(True) for curves, (cid, sen) in markit_bbg_mapping[k]: c.execute( diff --git a/python/pyisda b/python/pyisda -Subproject e2b581e2ecae15b145039035a8b318f8437a520 +Subproject 750beafc64f1e22095bdc0b043002c20ca62a0a |