diff options
| -rw-r--r-- | python/globeop_reports.py | 9 |
1 files changed, 7 insertions, 2 deletions
diff --git a/python/globeop_reports.py b/python/globeop_reports.py index 862fccce..bf6159be 100644 --- a/python/globeop_reports.py +++ b/python/globeop_reports.py @@ -1,6 +1,9 @@ from db import dbengine from pandas.tseries.offsets import DateOffset, MonthEnd from yieldcurve import YC +from quantlib.time.api import Date, Months, Period +from quantlib.indexes.api import USDLibor +from quantlib.termstructures.yield_term_structure import YieldTermStructure import pandas as pd import numpy as np @@ -127,10 +130,12 @@ def get_rmbs_pos_df(date=None): df = df[['endbookmv', 'endlocalmarketprice', 'identifier']] calc_df = pd.DataFrame() + yc = YieldTermStructure() + libor1m = USDLibor(Period(1, Months), yc) for d, g in df.groupby(pd.Grouper(freq='M')): model_date = pd.to_datetime(timestamps[timestamps.timestamp <= d + DateOffset(days=1)].max()[0]).date() - yc = YC(evaluation_date=model_date) - libor = float(yc.zero_rate(.125)) + yc.link_to(YC(evaluation_date=model_date)) + libor = libor1m.fixing(libor1.fixing_calendar.adjust(Date.from_datetime(d))) sql_string = ("SELECT date(timestamp) as timestamp, cusip, model_version, " "pv, moddur, delta_yield, delta_ir " "FROM priced where date(timestamp) = %s " |