diff options
Diffstat (limited to 'python')
| -rw-r--r-- | python/book_bbg.py | 36 |
1 files changed, 31 insertions, 5 deletions
diff --git a/python/book_bbg.py b/python/book_bbg.py index 63f7f2ac..0c4978d0 100644 --- a/python/book_bbg.py +++ b/python/book_bbg.py @@ -5,6 +5,7 @@ import pytz from stat import S_ISREG import csv from process_queue import rename_keys +from serenitas.utils.db import dbconn fund_dictionary = {"SERENITAS_CGMF": "SERCGMAST", "BOWDOINST": "BOWDST"} fcm_dictionary = {"Bank of America, N.A.": "BAML", "Goldman Sachs": "GS"} @@ -30,6 +31,27 @@ def download_files(date): return downloaded_files +def get_bbg_data(bbg_id, trade_date): + try: + _, indextype, _, series, tenor = bbg_id.split() + except ValueError: + return "not a valid bloomberg description", 400 + indextype = indextype[:2] + tenor = tenor[:-1] + "yr" + series = int(series[1:]) + sql_str = ( + "SELECT redindexcode, maturity, coupon " + "FROM index_desc " + "WHERE index=%s and series=%s and tenor=%s " + " and lastdate >=%s ORDER BY version" + ) + db = get_db() + with db.cursor() as c: + c.execute(sql_str, (indextype, series, tenor, trade_date)) + redcode, maturity, coupon = c.fetchone() + return str(maturity), redcode, coupon + + def cdx_booking_process(path): reader = csv.DictReader(open(path)) for csvdict in reader: @@ -56,12 +78,16 @@ def cdx_booking_process(path): csv_dict["folder"] = None csv_dict["cp_code"] = None csv_dict["payment_rolldate"] = "Following" - csv_dict["fixed_rate"] = None - csv_dict["day_count"] = None - csv_dict["frequency"] = None - csv_dict["security_id"] = None - csv_dict["swap_type"] = None + csv_dict["day_count"] = "ACT/360" + csv_dict["frequency"] = 4 + csv_dict["swap_type"] = "CD_INDEX" csv_dict["portfolio"] = None + ( + csv_dict["maturity"], + csv_dict["security_id"], + csv_dict["fixed_rate"], + ) = get_bbg_data(csv_dict["security_desc"], csv_dict["trade_date"]) + csv_dict["effective_date"] = datetime.date(2021, 12, 20) def book_trades(date): |