diff options
| -rw-r--r-- | python/markit_tranche_quotes.py | 6 |
1 files changed, 5 insertions, 1 deletions
diff --git a/python/markit_tranche_quotes.py b/python/markit_tranche_quotes.py index 611ed129..894ec56a 100644 --- a/python/markit_tranche_quotes.py +++ b/python/markit_tranche_quotes.py @@ -54,6 +54,7 @@ headers = [h.lower() for h in next(f).strip().split(",")] count = 0 for d in csv.DictReader(f, fieldnames=headers): + d["quotedate"] = datetime.datetime.strptime(d["time"], "%m/%d/%Y %H:%M:%S") d["quotedate"] = d["quotedate"].replace(tzinfo=pytz.UTC) d["index"] = index_mapping[d["ticker"]] @@ -81,7 +82,10 @@ for d in csv.DictReader(f, fieldnames=headers): else: d["indexrefprice"] = ref for k in ["_bid", "_mid", "_ask"]: - d["upfront" + k] = d["price" + k] + if d["price" + k]: + d["upfront" + k] = d["price" + k] + elif d["spread" + k]: + d["upfront" + k] = d["spread" + k] d["spread" + k] = ( 0 if d["series"] in [9, 10] and d["attachment"] == 10 else 500 ) |