diff options
| -rw-r--r-- | python/analytics/index_data.py | 2 | ||||
| -rw-r--r-- | sql/serenitasdb.sql | 2 |
2 files changed, 3 insertions, 1 deletions
diff --git a/python/analytics/index_data.py b/python/analytics/index_data.py index 18aeaaba..06c5cd00 100644 --- a/python/analytics/index_data.py +++ b/python/analytics/index_data.py @@ -152,6 +152,8 @@ def get_singlenames_quotes(indexname, date): def build_curve(r, tenors, currency="USD"): + if r['date'] is None: + raise ValueError(f"Curve for {r['cds_ticker']} is missing") spread_curve = 1e-4 * np.array(r['spread_curve'], dtype='float') upfront_curve = 1e-2 * np.array(r['upfront_curve'], dtype='float') recovery_curve = np.array(r['recovery_curve'], dtype='float') diff --git a/sql/serenitasdb.sql b/sql/serenitasdb.sql index f7da814d..e2e98be7 100644 --- a/sql/serenitasdb.sql +++ b/sql/serenitasdb.sql @@ -361,7 +361,7 @@ CREATE OR REPLACE FUNCTION historical_cds_quotes(date, bbgSource) RETURNS SETOF BEGIN
RETURN QUERY SELECT b.*
FROM (SELECT max(c.Date) AS latestdate, c.curve_ticker FROM cds_quotes c
- WHERE (c.Date BETWEEN $1 - interval '1 month' AND $1) AND source=$2 GROUP BY c.curve_ticker) a
+ WHERE (c.Date BETWEEN $1 - interval '40 days' AND $1) AND source=$2 GROUP BY c.curve_ticker) a
JOIN cds_quotes b ON a.curve_ticker = b.curve_ticker AND a.latestdate=b.Date
WHERE source=$2;
END;
|