diff options
| -rw-r--r-- | python/cds_curve.py | 12 |
1 files changed, 7 insertions, 5 deletions
diff --git a/python/cds_curve.py b/python/cds_curve.py index 51f017f1..96413b10 100644 --- a/python/cds_curve.py +++ b/python/cds_curve.py @@ -8,12 +8,11 @@ import math import numpy as np import pandas as pd -from yieldcurve import YC, ql_to_jp +from yieldcurve import YC, ql_to_jp, _USD_curves from quantlib.settings import Settings from quantlib.time.api import Date from db import dbconn, dbengine from multiprocessing import Pool -from itertools import zip_longest, chain from index_data import get_index_quotes from pandas.tseries.offsets import BDay from scipy.optimize import brentq @@ -55,9 +54,12 @@ def get_singlenames_curves(index_type, series, trade_date): end_dates = roll_date(trade_date, [1, 2, 3, 4, 5, 7, 10], nd_array=True) sn_quotes = get_singlenames_quotes("{}{}".format(index_type.lower(), series), trade_date.date()) - Settings().evaluation_date = Date.from_datetime(trade_date) - yc = YC() - jp_yc = ql_to_jp(yc) + if trade_date in _USD_curves: + jp_yc = yieldcurve.USD_curves[trade_date] + else: + Settings().evaluation_date = Date.from_datetime(trade_date) + yc = YC() + jp_yc = ql_to_jp(yc) start_date = previous_twentieth(trade_date) step_in_date = trade_date + datetime.timedelta(days=1) value_date = pd.Timestamp(trade_date) + 3* BDay() |