diff options
| -rw-r--r-- | python/calibrate_swaption.py | 18 |
1 files changed, 5 insertions, 13 deletions
diff --git a/python/calibrate_swaption.py b/python/calibrate_swaption.py index 7df03c92..d10236f7 100644 --- a/python/calibrate_swaption.py +++ b/python/calibrate_swaption.py @@ -10,7 +10,7 @@ from itertools import repeat serenitas_engine = dbengine('serenitasdb') -def get_data(index, series, date = datetime.date.min): +def get_data(index, series, date=datetime.date.min): df = pd.read_sql_query("SELECT * from swaption_ref_quotes JOIN swaption_quotes " \ "USING (quotedate, index, series, expiry) WHERE index=%s and series=%s " \ "and quotedate >=%s ORDER BY quotedate", @@ -18,12 +18,8 @@ def get_data(index, series, date = datetime.date.min): params=(index, series, date), parse_dates=['quotedate', 'expiry']) df.loc[(df.quote_source == "GS") & (df['index'] =="HY"), ["pay_bid", "pay_offer", "rec_bid", "rec_offer"]] *= 100 - try: - df.quotedate = df.quotedate.dt.tz_localize('America/New_York') - except TypeError: - pass - finally: - return df + df.quotedate = df.quotedate.dt.tz_convert('America/New_York') + return df def get_data_latest(): df = pd.read_sql_query("SELECT swaption_quotes.*, ref FROM swaption_quotes " \ @@ -35,12 +31,8 @@ def get_data_latest(): parse_dates=['quotedate', 'expiry']) df.loc[(df.quote_source == "GS") & (df['index'] == "HY"), ["pay_bid", "pay_offer", "rec_bid", "rec_offer"]] *=100 - try: - df.quotedate = df.quotedate.dt.tz_localize('America/New_York') - except TypeError: - pass - finally: - return df + df.quotedate = df.quotedate.dt.tz_convert('America/New_York') + return df def calib(option, ref, strike, pay_bid, pay_offer, rec_bid, rec_offer): option.ref = ref |