diff options
| -rw-r--r-- | python/index_data.py | 4 |
1 files changed, 3 insertions, 1 deletions
diff --git a/python/index_data.py b/python/index_data.py index 11935194..f04d7d4a 100644 --- a/python/index_data.py +++ b/python/index_data.py @@ -67,8 +67,10 @@ def get_index_quotes(index=None, series=None, tenor=None, from_date=None, years= for k, v in args.items() if v is not None} df = pd.read_sql_query(sql_str, _serenitas_engine, parse_dates=['date'], - index_col=['date', 'index', 'series', 'version', 'tenor'], + index_col=['date', 'index', 'series', 'version'], params = make_params(args)) + df.tenor = df.tenor.astype('category', categories=("3yr", "5yr", "7yr", "10yr"), ordered=True) + df = df.set_index('tenor', append=True) df.sort_index(inplace=True) ## get rid of US holidays dates = df.index.levels[0] |