diff options
Diffstat (limited to 'python')
| -rw-r--r-- | python/analytics/basket_index.py | 8 | ||||
| -rw-r--r-- | python/analytics/db.py | 2 | ||||
| -rw-r--r-- | python/analytics/index.py | 4 | ||||
| -rw-r--r-- | python/analytics/option.py | 3 |
4 files changed, 9 insertions, 8 deletions
diff --git a/python/analytics/basket_index.py b/python/analytics/basket_index.py index e099ef5d..64f6efc5 100644 --- a/python/analytics/basket_index.py +++ b/python/analytics/basket_index.py @@ -1,6 +1,6 @@ from index_data import (get_index_quotes, get_singlenames_curves, - get_tranche_quotes, _serenitas_engine) -from .tranche_functions import credit_schedule + get_tranche_quotes) +from .db import _engine from dateutil.relativedelta import relativedelta from pyisda.credit_index import CreditIndex from typing import List @@ -31,7 +31,7 @@ class BasketIndex(CreditIndex): "issue_date "\ "FROM index_maturity " \ "WHERE index=%s AND series=%s", - _serenitas_engine, + _engine, index_col='tenor', params=(index_type, series), parse_dates=['maturity', 'issue_date']) @@ -39,7 +39,7 @@ class BasketIndex(CreditIndex): "FROM index_version " \ "WHERE index=%s AND series = %s" \ "ORDER BY lastdate", - _serenitas_engine, + _engine, index_col='lastdate', params=(index_type, series), parse_dates=['lastdate']) diff --git a/python/analytics/db.py b/python/analytics/db.py new file mode 100644 index 00000000..ccfe765f --- /dev/null +++ b/python/analytics/db.py @@ -0,0 +1,2 @@ +from db import dbengine +_engine = dbengine('serenitasdb') diff --git a/python/analytics/index.py b/python/analytics/index.py index 0d692d19..d2c98822 100644 --- a/python/analytics/index.py +++ b/python/analytics/index.py @@ -12,17 +12,15 @@ from quantlib.settings import Settings from quantlib.time.api import Date, Actual365Fixed from termcolor import colored from pandas.tseries.offsets import BDay -from db import dbengine from sqlalchemy import exc from pyisda.curve import SpreadCurve from .utils import previous_twentieth, build_table +from .db import _engine, dbengine from bbg_helpers import BBG_IP, retrieve_data, init_bbg_session from yieldcurve import get_curve, rate_helpers, YC, ql_to_jp from weakref import WeakSet -_engine = dbengine('serenitasdb') - def g(index, spread, exercise_date, forward_yc=None, pv=None): """computes the strike clean price using the expected forward yield curve. """ if forward_yc is None: diff --git a/python/analytics/option.py b/python/analytics/option.py index ab4c369a..6ac45a2b 100644 --- a/python/analytics/option.py +++ b/python/analytics/option.py @@ -11,7 +11,8 @@ from db import dbengine from .black import black, Nx from .sabr import sabr from .utils import GHquad, build_table -from .index import g, ForwardIndex, Index, _engine +from .index import g, ForwardIndex, Index +from .db import _engine from yieldcurve import roll_yc from pandas.tseries.offsets import BDay |