diff options
| -rw-r--r-- | python/yieldcurve.py | 6 |
1 files changed, 3 insertions, 3 deletions
diff --git a/python/yieldcurve.py b/python/yieldcurve.py index 951f7931..bdd36768 100644 --- a/python/yieldcurve.py +++ b/python/yieldcurve.py @@ -4,7 +4,7 @@ import requests, zipfile from io import BytesIO import xml.etree.ElementTree as ET import datetime -from quantlib.time.api import Calendar, Period, Days, Schedule, today, Actual360 +from quantlib.time.api import Calendar, Period, Days, Schedule, today, Actual360, calendar_from_name from quantlib.time import imm from quantlib.util.converter import qldate_to_pydate, pydate_to_qldate from quantlib.market.market import libor_market, next_imm_date @@ -49,7 +49,7 @@ def YC(date = datetime.date.today(), MarkitData=None, futures = None): if not futures: futures = get_futures_data(date) m = libor_market('USD(NY)') - cal = Calendar.from_name('GBR') + cal = calendar_from_name('GBR') # m.settle_date is not available until we set_quotes, so we compute it again # need a better way to do this settle_date = cal.advance(pydate_to_qldate(date), 2, Days) @@ -64,7 +64,7 @@ def YC(date = datetime.date.today(), MarkitData=None, futures = None): if __name__=="__main__": date = datetime.date(2014, 4, 29) ts = YC(date) - cal = Calendar.from_name('USA') + cal = calendar_from_name('USA') p1 = Period('1Mo') p2 = Period('2Mo') p3 = Period('3Mo') |