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import pandas as pd
from bbg_helpers import init_bbg_session, retrieve_data
from utils.db import serenitas_engine
indices = [
"CDX HY CDSI S19 5Y",
"ITRX XOVER CDSI S25 5Y",
"CDX HY CDSI S15 5Y",
"ITRX XOVER CDSI S20 5Y",
"CDX HY CDSI S25 5Y",
"ITRX EUR CDSI S17 10Y",
]
with init_bbg_session() as session:
d = retrieve_data(
session, [f"{i} Corp" for i in indices], "CDS_INDEX_DEFAULT_INFORMATION"
)
df = pd.concat(
[v["CDS_INDEX_DEFAULT_INFORMATION"] for v in d.values()], ignore_index=True
)
df["Company ID"] = df["Company ID"].astype("int")
df = df[~df.duplicated(["Company ID"])]
breakpoint()
df = df[["Company ID", "Auction Date", "Event Date", "CDS Recovery Rate"]]
df.columns = ["id", "auction_date", "event_date", "recovery"]
df.to_sql("defaulted", serenitas_engine, if_exists="append", index=False)
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