diff options
| -rw-r--r-- | python/calibrate_swaption.py | 8 |
1 files changed, 7 insertions, 1 deletions
diff --git a/python/calibrate_swaption.py b/python/calibrate_swaption.py index 0d495e89..32478eaf 100644 --- a/python/calibrate_swaption.py +++ b/python/calibrate_swaption.py @@ -51,6 +51,9 @@ def calib(option, ref, strike, pay_bid, pay_offer, rec_bid, rec_offer): option.ref = ref option.strike = strike r = [] + logger.debug( + f"{ref=}\t{strike=}\t{pay_bid=}\t{pay_offer=}\t{rec_bid=}\t{rec_offer=}" + ) for price_type in ["price_black", "price"]: for option_type in ["pay", "rec"]: if option_type == "pay": @@ -102,6 +105,7 @@ def calibrate(index_type=None, series=None, date=None, nproc=4, latest=False): logger.debug(f"{trade_date} {index_type}{series}") index = CreditIndex(index_type, series, "5yr", trade_date) for expiry, df in v.groupby(["expiry"]): + logger.debug(expiry) try: option = Swaption(index, expiry.date(), 100) except ValueError as e: @@ -119,7 +123,9 @@ def calibrate(index_type=None, series=None, date=None, nproc=4, latest=False): "rec_bid", "rec_offer", ] - ].itertuples(index=False, name=None), + ] + .sort_values("strike") + .itertuples(index=False, name=None), ) to_insert = [[a] + b for a, b in zip(df.quote_id, r)] serenitas_engine.execute(sql_str, to_insert) |