diff options
| -rw-r--r-- | python/analytics/tranche_basket.py | 5 |
1 files changed, 3 insertions, 2 deletions
diff --git a/python/analytics/tranche_basket.py b/python/analytics/tranche_basket.py index 9640dc81..adcd186f 100644 --- a/python/analytics/tranche_basket.py +++ b/python/analytics/tranche_basket.py @@ -603,8 +603,8 @@ class DualCorrTranche: col_ref = "close_price" if self.index_type == "HY" else "close_spread" sql_query = ( f"SELECT {col_ref} from index_quotes_pre " - "WHERE date=%s and index=%s and series=%s and " - "tenor=%s and source=%s" + "WHERE date <=%s and index=%s and series=%s and " + "tenor=%s and version=%s and source=%s ORDER BY date DESC LIMIT 1" ) conn = serenitas_pool.getconn() with conn.cursor() as c: @@ -615,6 +615,7 @@ class DualCorrTranche: self.index_type, self.series, self.tenor, + self._index.version, kwargs.get("source", "MKIT"), ), ) |