diff options
| -rw-r--r-- | python/position.py | 5 |
1 files changed, 4 insertions, 1 deletions
diff --git a/python/position.py b/python/position.py index 69a1b27f..d5100659 100644 --- a/python/position.py +++ b/python/position.py @@ -104,7 +104,8 @@ def update_fx(conn, session, currencies): c.execute(sqlstr, values) conn.commit() -def init_swap_rates(conn, session, tenors=[1, 2, 3, 4, 5, 6, 7, 8, 9, 10, 15, 20, 30]): +def init_swap_rates(conn, session, tenors=[1, 2, 3, 4, 5, 6, 7, 8, 9, 10, 15, 20, 30], + start_date=datetime.date(1998, 10, 7)): securities = [f"USISDA{t:02} Index" for t in tenors] data = retrieve_data(session, securities, ['PX_LAST'], start_date=datetime.date(1998, 10, 7)) @@ -277,6 +278,8 @@ if __name__=="__main__": update_swaption_vol(serenitas_conn, session, vol_type=vol_type) # with init_bbg_session(BBG_IP) as session: # init_fx(session, engine, pd.datetime(2013, 1, 1)) + # with init_bbg_session(BBG_IP) as session: + # init_swap_rates(serenitas_conn, session, start_date=pd.datetime(2012, 2, 2)) # for source in ['BBIR', 'ICPL', 'CMPN']: # for vol_type in ["N", "V"]: # with init_bbg_session(BBG_IP) as session: |