diff options
| -rw-r--r-- | python/analytics/index.py | 2 | ||||
| -rw-r--r-- | python/yieldcurve.py | 12 |
2 files changed, 8 insertions, 6 deletions
diff --git a/python/analytics/index.py b/python/analytics/index.py index a8c9a8ef..10238fce 100644 --- a/python/analytics/index.py +++ b/python/analytics/index.py @@ -255,7 +255,7 @@ class Index(object): # for rh in self._helpers: # rh.quote += 1e-4 # self._yc = ql_to_jp(self._ql_yc) - helpers = rate_helpers(self.currency) + helpers = rate_helpers(self.currency, evaluation_date=self.trade_date) for rh in helpers: rh.quote += 1e-4 ql_yc = YC(helpers) diff --git a/python/yieldcurve.py b/python/yieldcurve.py index 8978ecb5..65ef71bf 100644 --- a/python/yieldcurve.py +++ b/python/yieldcurve.py @@ -64,8 +64,8 @@ def get_futures_data(date = datetime.date.today()): quotes = [float(line.split(",")[1]) for line in fh] return quotes -def rate_helpers(currency="USD", MarkitData=None): - """Util function to build a list of RateHelpers +def rate_helpers(currency="USD", MarkitData=None, evaluation_date=None): + """Utility function to build a list of RateHelpers Parameters ---------- @@ -80,13 +80,15 @@ def rate_helpers(currency="USD", MarkitData=None): List of QuantLib RateHelpers """ settings = Settings() + if evaluation_date is None: + evaluation_date = pydate_from_qldate(settings.evaluation_date) if not MarkitData: - MarkitData = getMarkitIRData(pydate_from_qldate(settings.evaluation_date), currency) - if MarkitData['effectiveasof'] != pydate_from_qldate(settings.evaluation_date): + MarkitData = getMarkitIRData(evaluation_date, currency) + if MarkitData['effectiveasof'] != evaluation_date: warnings.warn("Yield curve effective date: {0} doesn't " \ "match the evaluation date: {1}".format( MarkitData['effectiveasof'], - pydate_from_qldate(settings.evaluation_date)), + evaluation_date), RuntimeWarning) settings.evaluation_date = Date.from_datetime(MarkitData['effectiveasof']) calendar = WeekendsOnly() |