diff options
| -rw-r--r-- | python/calibrate_swaption.py | 10 |
1 files changed, 5 insertions, 5 deletions
diff --git a/python/calibrate_swaption.py b/python/calibrate_swaption.py index cbb8d5c7..b31585b5 100644 --- a/python/calibrate_swaption.py +++ b/python/calibrate_swaption.py @@ -50,20 +50,20 @@ def calib(d, option, expiry, index, series): r.append(option.sigma) return [d['quotedate'], index, series, expiry, d['strike']] + r -def calibrate(index_type=None, series=None, date=None, nproc=4, latest=False): +def calibrate(index=None, series=None, date=None, nproc=4, latest=False): sql_str = ("INSERT INTO swaption_calib VALUES({}) ON CONFLICT DO NOTHING". format(",".join(["%s"] * 9))) if latest: data = get_data_latest() else: - data = get_data(index_type, series, date) + data = get_data(index, series, date) for k, v in data.groupby([data['quotedate'].dt.date, 'expiry','index', 'series']): trade_date, expiry, index_type, series = k index = Index.from_name(index_type, series, "5yr") index.trade_date = trade_date option = Swaption(index, expiry.date(), 100, - strike_is_price = index_type == "HY") + strike_is_price=index_type == "HY") r = Parallel(n_jobs=nproc)( delayed(calib)(d, option, expiry.date(), index_type, series) for d in v[['ref', 'quotedate', 'strike', 'pay_bid', 'pay_offer', 'rec_bid', 'rec_offer']]. @@ -79,6 +79,6 @@ if __name__ == "__main__": parser.add_argument('--nproc', required = False, type=int, default=4) args = parser.parse_args() if args.latest: - calibrate(latest=True) + calibrate(latest=True, nproc=args.nproc) else: - calibrate(args.index, args.series, args.date, args.nproc) + calibrate(**args) |