diff options
Diffstat (limited to 'python')
| -rw-r--r-- | python/load_ms_data.py | 78 |
1 files changed, 50 insertions, 28 deletions
diff --git a/python/load_ms_data.py b/python/load_ms_data.py index 856a418c..0c493a36 100644 --- a/python/load_ms_data.py +++ b/python/load_ms_data.py @@ -3,48 +3,55 @@ from utils.db import serenitas_pool import numpy as np import pandas as pd + def load_sheet(index, series): - df = pd.read_excel("/home/serenitas/CorpCDOs/Tranche_data/USTrancheClientFile11072019.XLS", - sheet_name=f'5Y {index.upper()}{series}', skiprows=[0, 1, 2, 3, 4]) + df = pd.read_excel( + "/home/serenitas/CorpCDOs/Tranche_data/USTrancheClientFile11072019.XLS", + sheet_name=f"5Y {index.upper()}{series}", + skiprows=[0, 1, 2, 3, 4], + ) - sql_str = ("INSERT INTO tranche_quotes(" - "quotedate, index, series, version, tenor, attach, detach, " - "trancheupfrontmid, trancherunningmid, indexrefprice, " - "tranchedelta, corratdetachment, quotesource) " - f"VALUES({','.join(['%s'] * 13)})") + sql_str = ( + "INSERT INTO tranche_quotes(" + "quotedate, index, series, version, tenor, attach, detach, " + "trancheupfrontmid, trancherunningmid, indexrefprice, " + "tranchedelta, corratdetachment, quotesource) " + f"VALUES({','.join(['%s'] * 13)})" + ) df = df.set_index("Date") if index == "HY": - cols = [0., 0.15, 0.25, 0.35] + cols = [0.0, 0.15, 0.25, 0.35] else: - cols = [0., 0.03, 0.07, 0.15] + cols = [0.0, 0.03, 0.07, 0.15] if index == "HY": - df_upfront = df[['0% - 15%', '15% - 25%', '25% - 35%', '35% - 100%']] + df_upfront = df[["0% - 15%", "15% - 25%", "25% - 35%", "35% - 100%"]] else: - df_upfront = df[['0-3%', '3-7%', '7-15%', '15-100%']] + df_upfront = df[["0-3%", "3-7%", "7-15%", "15-100%"]] df_upfront.columns = cols df_upfront = df_upfront.stack() - df_upfront.name = 'upfront' - df_delta = df[['Delta', 'Delta.1', 'Delta.2', 'Delta.3']] + df_upfront.name = "upfront" + df_delta = df[["Delta", "Delta.1", "Delta.2", "Delta.3"]] df_delta.columns = cols df_delta = df_delta.stack() - df_delta.name = 'delta' - df_corr = df[['Correlation', 'Correlation.1', 'Correlation.2']] + df_delta.name = "delta" + df_corr = df[["Correlation", "Correlation.1", "Correlation.2"]] df_corr.columns = cols[:-1] df_corr = df_corr.stack() - df_corr.name = 'correlation' - df_detach = pd.DataFrame(np.repeat([cols[1:] + [1.]], len(df.index), 0), - index=df.index, columns=cols).stack() - df_detach.name='detach' + df_corr.name = "correlation" + df_detach = pd.DataFrame( + np.repeat([cols[1:] + [1.0]], len(df.index), 0), index=df.index, columns=cols + ).stack() + df_detach.name = "detach" df_merged = pd.concat([df_upfront, df_delta, df_corr, df_detach], axis=1) - df_merged.index.names = ['date', 'attach'] + df_merged.index.names = ["date", "attach"] if index == "HY": - df_merged['price'] = 100. * (1 - df_merged.upfront) + df_merged["price"] = 100.0 * (1 - df_merged.upfront) else: - df_merged['price'] = 100 * df_merged.upfront + df_merged["price"] = 100 * df_merged.upfront df_merged = df_merged.reset_index("attach") - df_final = df_merged.join(df['Spread (bp)']) - df_final = df_final.rename(columns={'Spread (bp)': 'indexspread'}) + df_final = df_merged.join(df["Spread (bp)"]) + df_final = df_final.rename(columns={"Spread (bp)": "indexspread"}) conn = serenitas_pool.getconn() credit_index = CreditIndex(index, series, "5yr") @@ -52,13 +59,28 @@ def load_sheet(index, series): for t in df_final.itertuples(): credit_index.value_date = t.Index.date() credit_index.spread = t.indexspread - c.execute(sql_str, (t.Index + pd.DateOffset(hours=17), index, series, - credit_index.version, "5yr", - int(t.attach * 100), - int(t.detach*100), t.price, 500, credit_index.price, t.delta, t.correlation, "MSre")) + c.execute( + sql_str, + ( + t.Index + pd.DateOffset(hours=17), + index, + series, + credit_index.version, + "5yr", + int(t.attach * 100), + int(t.detach * 100), + t.price, + 500, + credit_index.price, + t.delta, + t.correlation, + "MSre", + ), + ) conn.commit() serenitas_pool.putconn(conn) + if __name__ == "__main__": for index in ("IG", "HY"): for series in (25, 27, 29, 31, 33): |