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from sqlalchemy import Table, create_engine, MetaData
import os
import csv
engine = create_engine('postgresql://mlpdb_user:Serenitas1@debian/mlpdb')
metadata = MetaData(bind = engine)
quotes = Table('quotes', metadata, autoload = True)
ins = quotes.insert()
root_dir = '/home/share/CorpCDOs'
quotefiles = [f for f in os.listdir(os.path.join(root_dir, 'Scenarios', 'Calibration')) if 'tranches' in f]
for quotefile in quotefiles:
with open(os.path.join(root_dir, 'Scenarios', 'Calibration', quotefile)) as fh:
quotedate = os.path.splitext(quotefile)[0].split("_")[-1]
reader = csv.DictReader(fh)
data = []
for i, csvdict in enumerate(reader):
d = {'quotedate' : quotedate,
'refbasketprice': csvdict['bidRefPrice'],
'tranchedelta': csvdict['bidDelta'],
'quotesource' : csvdict['AskContributorCode'],
'upfront' : csvdict['Mid'],
'running' : float(csvdict['Coupon']) * 10000 if 'Coupon' in csvdict else 500,
'tenor' : 'Y5',
'basketid' : 182910,
'trancheid' : 182910+i}
data.append(d)
with engine.begin() as conn:
conn.execute(ins, data)
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