diff options
| -rw-r--r-- | R/calibrate_tranches_MF.R | 3 | ||||
| -rw-r--r-- | python/cds_curve.py | 4 |
2 files changed, 5 insertions, 2 deletions
diff --git a/R/calibrate_tranches_MF.R b/R/calibrate_tranches_MF.R index aa2c49bf..8b070f4a 100644 --- a/R/calibrate_tranches_MF.R +++ b/R/calibrate_tranches_MF.R @@ -41,4 +41,5 @@ write.table(data.frame(Z=index$Z, w=index$w.mod), col.names=T, row.names=F, sep=",") save(index, dist, file = file.path(data.dir, - paste0("marketdata-", tradedate, ".RData")), compress="xz") + paste0("marketdata-", tradedate, ".RData")), + compress="xz") diff --git a/python/cds_curve.py b/python/cds_curve.py index ba353269..2e21310d 100644 --- a/python/cds_curve.py +++ b/python/cds_curve.py @@ -120,7 +120,6 @@ def calibrate_portfolio(index_type, series): r = {} for k, s in index_quotes.iterrows(): trade_date = k[0].date() - print(trade_date) sn_quotes = get_singlenames_quotes("{}{}".format(index_type.lower(), series), trade_date) Settings().evaluation_date = Date.from_datetime(trade_date) @@ -148,3 +147,6 @@ def calibrate_portfolio(index_type, series): d['tweak'].append(eps) r[trade_date] = pd.DataFrame(d, index=tenors) return pd.concat(d) + +if __name__=="__main__": + df = calibrate_portfolio("IG", 27) |