from db import dbconn from common import root import datetime from io import BytesIO import os import pandas as pd import requests import xml.etree.ElementTree as ET import zipfile def downloadMarkitIRData(download_date = datetime.date.today(), currency = "USD"): conn = dbconn("serenitasdb") ## T+1 rates are published in the evening effective_date = download_date + datetime.timedelta(days = 1) basedir = os.path.join(root, "data", "Yield Curves") filename = "InterestRates_{0}_{1:%Y%m%d}".format(currency, effective_date) if not os.path.exists(os.path.join(basedir, filename + '.xml')): r = requests.get('http://www.markit.com/news/{0}.zip'.format(filename)) if "zip" in r.headers['content-type']: with zipfile.ZipFile(BytesIO(r.content)) as z: z.extractall(path = os.path.join(root, "data", "Yield Curves")) else: return downloadMarkitIRData(download_date-datetime.timedelta(days=1)) tree = ET.parse(os.path.join(root, "data", "Yield Curves", filename + '.xml')) deposits = zip([e.text for e in tree.findall('./deposits/*/tenor')], [float(e.text) for e in tree.findall('./deposits/*/parrate')]) swaps = zip([e.text for e in tree.findall('./swaps/*/tenor')], [float(e.text) for e in tree.findall('./swaps/*/parrate')]) effectiveasof = tree.find('./effectiveasof').text MarkitData = {'deposits': list(deposits), 'swaps': list(swaps), 'effectiveasof': pd.Timestamp(effectiveasof).date()} instruments = MarkitData['deposits'] + MarkitData['swaps'] names = ",".join(['"{}"'.format(r[0]) for r in instruments]) values = ",".join(["%s"] * (len(instruments) + 1)) # +1 for effective_date insert_str = ("INSERT INTO {0}_rates(effective_date, {1}) VALUES({2}) ON CONFLICT DO NOTHING". format(currency, names, values)) with conn.cursor() as c: c.execute(insert_str, [MarkitData['effectiveasof']] +[r[1] for r in instruments]) conn.commit() conn.close()