diff options
| -rw-r--r-- | etc/runs.yml | 1 | ||||
| -rw-r--r-- | python/calibrate_tranches_BC.py | 10 |
2 files changed, 6 insertions, 5 deletions
diff --git a/etc/runs.yml b/etc/runs.yml index d33eb11d..ef9191e3 100644 --- a/etc/runs.yml +++ b/etc/runs.yml @@ -10,6 +10,7 @@ runs: - [hy33, 5yr, bottomup] - [hy35, 5yr, bottomup] - [hy37, 5yr, bottomup] + - [hy39, 5yr, bottomup] - [xo26, 5yr, bottomup] - [xo28, 5yr, bottomup] - [xo30, 5yr, bottomup] diff --git a/python/calibrate_tranches_BC.py b/python/calibrate_tranches_BC.py index c561beae..31cf5061 100644 --- a/python/calibrate_tranches_BC.py +++ b/python/calibrate_tranches_BC.py @@ -97,6 +97,7 @@ if __name__ == "__main__": "hy33": datetime.date(2019, 10, 1), "hy35": datetime.date(2020, 10, 2), "hy37": datetime.date(2021, 10, 1), + "hy39": datetime.date(2022, 10, 3), "ig9": datetime.date(2013, 1, 1), "ig19": datetime.date(2013, 5, 1), "ig21": datetime.date(2013, 9, 26), @@ -143,13 +144,12 @@ if __name__ == "__main__": for index, tenor, skewtype in config["runs"]: begin_date = None index, series = index[:2].upper(), int(index[2:]) - if args.start_from is not None: - begin_date = args.start_from if args.update: begin_date = get_lastdate(serenitas_conn, index, series, tenor) - if begin_date is None: - continue - if not args.update and begin_date is None: + if args.start_from is not None: + begin_date = args.start_from + + if begin_date is None: try: begin_date = start_dates[f"{index.lower()}{series}"] except KeyError: |