diff options
Diffstat (limited to 'python')
| -rw-r--r-- | python/reto.py | 24 |
1 files changed, 12 insertions, 12 deletions
diff --git a/python/reto.py b/python/reto.py index 85c48563..bb3b37df 100644 --- a/python/reto.py +++ b/python/reto.py @@ -90,16 +90,16 @@ def save_shocks(conn, date, df, fund): def get_survival_curves(conn, date): surv_curves = ( - load_all_curves(conn, date) - .loc[~load_all_curves(conn, date).index.duplicated(keep="first")] - .assign( - **{ - f"{cds_tenor}yr_spread": lambda df: df["curve"].apply( - lambda sc: [h for d, h in sc][cds_tenor] - * (1 - sc.recovery_rates[cds_tenor]) - ) - for cds_tenor in (1, 3, 5) - } + ( + load_all_curves(conn, date).assign( + **{ + f"{cds_tenor}yr_spread": lambda df: df["curve"].apply( + lambda sc: [h for d, h in sc][cds_tenor] + * (1 - sc.recovery_rates[cds_tenor]) + ) + for cds_tenor in (1, 3, 5) + } + ) ) .groupby(level=0) .first()[["name", "company_id", "1yr_spread", "3yr_spread", "5yr_spread"]] @@ -132,8 +132,8 @@ def save_jtd(conn, date, df, fund): ) conn.commit() c.executemany( - "INSERT INTO jtd_risks(date, fund, company_id, name, five_year_spread, jtd) " - "VALUES (%s, %s, %s, %s, %s, %s)", + "INSERT INTO jtd_risks(date, fund, company_id, name, 1yr_spread, 3yr_spread, 5yr_spread, jtd) " + "VALUES (%s, %s, %s, %s, %s, %s, %s, %s)", [(date, fund, *t) for t in df.itertuples(index=False)], ) conn.commit() |