diff options
| -rw-r--r-- | python/analytics/tranche_basket.py | 3 | ||||
| -rw-r--r-- | python/calibrate_tranches_BC.py | 4 |
2 files changed, 4 insertions, 3 deletions
diff --git a/python/analytics/tranche_basket.py b/python/analytics/tranche_basket.py index b7727068..6f294757 100644 --- a/python/analytics/tranche_basket.py +++ b/python/analytics/tranche_basket.py @@ -882,8 +882,7 @@ class TrancheBasket(BasketIndex): self.tranche_quotes.running.iat[j], False), full_output=True) except ValueError as e: - print(f"can't calibrate skew at attach {self.K[j+1]}") - raise + raise ValueError(f"can't calibrate skew at attach {self.K[j+1]}") if r.converged: self.rho[j+1] = x0 else: diff --git a/python/calibrate_tranches_BC.py b/python/calibrate_tranches_BC.py index dd87bfb8..fdeb033e 100644 --- a/python/calibrate_tranches_BC.py +++ b/python/calibrate_tranches_BC.py @@ -32,6 +32,8 @@ def build_sql_str(df): if __name__ == "__main__": logging.basicConfig(level=logging.INFO, + filename=os.path.join(os.environ["LOG_DIR"], + f"calib_tranches_{datetime.date.today()}.log"), format='%(asctime)s - %(name)s - %(levelname)s - %(message)s') logger = logging.getLogger('tranche_calib') parser = argparse.ArgumentParser() @@ -113,7 +115,7 @@ if __name__ == "__main__": data = {} for d in dr: - logger.debug(d.date()) + logger.debug(f"calibrating for {d.date()}") try: if tranche_index is None: tranche_index = TrancheBasket(index, series, tenor, value_date=d.date()) |