diff options
| -rw-r--r-- | python/risk/bonds.py | 5 |
1 files changed, 2 insertions, 3 deletions
diff --git a/python/risk/bonds.py b/python/risk/bonds.py index edb4ceb8..6333fc8e 100644 --- a/python/risk/bonds.py +++ b/python/risk/bonds.py @@ -134,7 +134,7 @@ def subprime_risk(pos_date, conn, engine, model_date=None): ), delta_ir=df_calc.delta_ir_io + df_calc.delta_ir_po, # use original notional for 0 factor bonds to calc yield - curr_ntl=df_calc.notional * df_calc.factor.apply(lambda x: 1 if x == 0 else x), + curr_ntl=df_calc.notional * df_calc.factor.where(df_calc.factor != 0.0, 1.0), # assume beta and ontr is initialized from analytics hy_equiv=( df_calc.delta_yield @@ -144,9 +144,8 @@ def subprime_risk(pos_date, conn, engine, model_date=None): * df_calc.local_market_value / df_calc.pv3 ), - date=pos_date, + date=pd.Timestamp(pos_date), ) - df_calc.date = pd.to_datetime(df_calc.date) df_calc.bond_yield += ( np.log(df_calc.pv1 * df_calc.curr_ntl / df_calc.local_market_value) / df_calc.modDur |