diff options
| -rw-r--r-- | python/tests/test_cds.py | 2 | ||||
| -rw-r--r-- | python/tests/test_scenarios.py | 4 | ||||
| -rw-r--r-- | python/tests/test_swaption.py | 2 | ||||
| -rw-r--r-- | python/tests/test_tranche_basket.py | 2 | ||||
| -rw-r--r-- | sql/serenitasdb.sql | 2 |
5 files changed, 6 insertions, 6 deletions
diff --git a/python/tests/test_cds.py b/python/tests/test_cds.py index 6798c771..da0133b9 100644 --- a/python/tests/test_cds.py +++ b/python/tests/test_cds.py @@ -6,7 +6,7 @@ from pyisda.date import roll_date import datetime import numpy as np -from serenitas.analytics import CreditIndex +from serenitas.analytics.index import CreditIndex from serenitas.analytics.yieldcurve import get_curve diff --git a/python/tests/test_scenarios.py b/python/tests/test_scenarios.py index 0bcce027..7be1bd41 100644 --- a/python/tests/test_scenarios.py +++ b/python/tests/test_scenarios.py @@ -2,7 +2,7 @@ import unittest import numpy as np import pandas as pd -from serenitas.analytics import ( +from serenitas.analytics.api import ( CreditIndex, BlackSwaption, Portfolio, @@ -28,7 +28,7 @@ class TestSenarios(unittest.TestCase): ) def test_portfolio(self): - """ check that run_portfolio_scenarios match the sum of the individual pieces""" + """check that run_portfolio_scenarios match the sum of the individual pieces""" vol_shock = np.arange(-0.15, 0.3, 0.01) spread_shock = np.arange(-0.2, 0.3, 0.01) vs = BlackSwaptionVolSurface("IG", 28, value_date=self.option_delta.value_date) diff --git a/python/tests/test_swaption.py b/python/tests/test_swaption.py index ee777603..84cbc6ba 100644 --- a/python/tests/test_swaption.py +++ b/python/tests/test_swaption.py @@ -2,7 +2,7 @@ import unittest import datetime from serenitas.analytics.index import g -from serenitas.analytics import CreditIndex, Swaption, BlackSwaption +from serenitas.analytics.api import CreditIndex, Swaption, BlackSwaption class TestPutCallParity(unittest.TestCase): diff --git a/python/tests/test_tranche_basket.py b/python/tests/test_tranche_basket.py index 63fe2347..4bcfc26d 100644 --- a/python/tests/test_tranche_basket.py +++ b/python/tests/test_tranche_basket.py @@ -1,6 +1,6 @@ import unittest import datetime -from serenitas.analytics import DualCorrTranche, TrancheBasket +from serenitas.analytics.api import DualCorrTranche, TrancheBasket import numpy as np import pickle diff --git a/sql/serenitasdb.sql b/sql/serenitasdb.sql index e9525437..5b3fc7b8 100644 --- a/sql/serenitasdb.sql +++ b/sql/serenitasdb.sql @@ -1218,7 +1218,7 @@ CREATE TABLE defaulted( PRIMARY KEY (id, seniority)
FOREIGN KEY (id, seniority) REFERENCES bbg_issuers);
-CREATE TYPE cash_rate AS ENUM('FED_FUND', '1M_LIBOR', '3M_LIBOR');
+CREATE TYPE cash_rate AS ENUM('FED_FUND', '1M_LIBOR', '3M_LIBOR', 'SOFR_RATE', 'SOFR_INDEX');
CREATE TABLE rates(
date date NOT NULL,
|