diff options
Diffstat (limited to 'python')
| -rw-r--r-- | python/insert_tranche_quotes_old.py | 46 |
1 files changed, 46 insertions, 0 deletions
diff --git a/python/insert_tranche_quotes_old.py b/python/insert_tranche_quotes_old.py new file mode 100644 index 00000000..bf99ec2a --- /dev/null +++ b/python/insert_tranche_quotes_old.py @@ -0,0 +1,46 @@ +from sqlalchemy import Table, create_engine, MetaData
+import os
+import csv
+import datetime
+
+engine = create_engine('postgresql://mlpdb_user:Serenitas1@debian/mlpdb')
+metadata = MetaData(bind = engine)
+quotes = Table('tranche_quotes', metadata, autoload = True)
+ins = quotes.insert()
+
+root_dir = '/home/share/CorpCDOs'
+quotefiles = [f for f in os.listdir(os.path.join(root_dir, 'Scenarios', 'Calibration')) if 'tranches' in f]
+K = [0, 15, 25, 35, 100]
+
+for quotefile in quotefiles:
+ with open(os.path.join(root_dir, 'Scenarios', 'Calibration', quotefile)) as fh:
+ quotedate = datetime.datetime.strptime(os.path.splitext(quotefile)[0].split("_")[-1], "%Y-%m-%d").date()
+ series=19 if "19" in quotefile else 21
+ index = os.path.splitext(quotefile)[0].split("_")
+ if quotedate != datetime.date(2013, 8, 2):
+ continue
+ if quotedate <= datetime.date(2014, 5, 21):
+ version=1
+ else:
+ version=2
+ print("pomme")
+ reader = csv.DictReader(fh)
+ data = []
+ for i, csvdict in enumerate(reader):
+ d = {'quotedate' : quotedate,
+ 'indexrefprice': csvdict['bidRefPrice'],
+ 'indexrefspread': 500,
+ 'tranchedelta': csvdict['bidDelta'],
+ 'quotesource' : csvdict['AskContributorCode'],
+ 'trancheupfront' : csvdict['Mid'],
+ 'trancherunning' : float(csvdict['Coupon']) * 10000 if 'Coupon' in csvdict else 500,
+ 'tenor' : '5yr',
+ 'index' : 'HY',
+ 'series': series,
+ 'version': version,
+ 'attach': K[i],
+ 'detach': K[i+1]
+ }
+ data.append(d)
+ with engine.begin() as conn:
+ conn.execute(ins, data)
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