diff options
Diffstat (limited to 'python')
| -rw-r--r-- | python/import_quotes.py | 8 |
1 files changed, 6 insertions, 2 deletions
diff --git a/python/import_quotes.py b/python/import_quotes.py index bd1a2735..7cf8fe7b 100644 --- a/python/import_quotes.py +++ b/python/import_quotes.py @@ -34,7 +34,7 @@ def get_markit_bbg_mapping(database, basketid_list, workdate): doc_clause_mapping = DOC_CLAUSE_MAPPING14 else: doc_clause_mapping = DOC_CLAUSE_MAPPING - markit_bbg_mapping = defaultdict(list) + markit_bbg_mapping = defaultdict(set) all_tickers = set([]) with database.cursor() as c: c.execute("SELECT markit_ticker, markit_tier, spread, currency, cds_curve, " \ @@ -46,7 +46,11 @@ def get_markit_bbg_mapping(database, basketid_list, workdate): doc_clause_mapping[line['doc_clause']], float(line['spread'])/10000) if key==('CESEOP', 'SNRFOR', 'USD', 'XR14', 0.05): key=('CESEOP', 'SNRFOR', 'USD', 'XR', 0.05) - markit_bbg_mapping[key].append(line['cds_curve']) + ## each markit ticker can be mapped to multiple bbg tickers + ## these bbg tickers can have different curves (ok) + ## or same curves (not ok since date, curve_ticker needs to be unique) + ## therefore we keep them in a set strucutre + markit_bbg_mapping[key].add(tuple(line['cds_curve'])) database.commit() return (all_tickers, markit_bbg_mapping) |