diff options
Diffstat (limited to 'python/analytics/__init__.py')
| -rw-r--r-- | python/analytics/__init__.py | 25 |
1 files changed, 18 insertions, 7 deletions
diff --git a/python/analytics/__init__.py b/python/analytics/__init__.py index ccb135f0..849c1d04 100644 --- a/python/analytics/__init__.py +++ b/python/analytics/__init__.py @@ -1,10 +1,18 @@ import sys + sys.path.append("..") from utils.db import serenitas_engine, dawn_engine, dbconn, DataError, serenitas_pool from .index import CreditIndex, ForwardIndex -from .option import (BlackSwaption, Swaption, ATMstrike, ProbSurface, - QuoteSurface, VolSurface, BlackSwaptionVolSurface) +from .option import ( + BlackSwaption, + Swaption, + ATMstrike, + ProbSurface, + QuoteSurface, + VolSurface, + BlackSwaptionVolSurface, +) from .portfolio import Portfolio from .basket_index import MarkitBasketIndex from .tranche_basket import DualCorrTranche, TrancheBasket @@ -12,15 +20,18 @@ from .ir_swaption import IRSwaption import datetime + def on_the_run(index, value_date=datetime.date.today()): - r = serenitas_engine.execute("SELECT max(series) FROM index_maturity WHERE index=%s " - "and issue_date <= %s", - (index, value_date)) + r = serenitas_engine.execute( + "SELECT max(series) FROM index_maturity WHERE index=%s " "and issue_date <= %s", + (index, value_date), + ) series, = r.fetchone() return series + def init_ontr(value_date=datetime.date.today()): global _ontr, _beta - _ontr = CreditIndex('HY', on_the_run("HY", value_date), '5yr', value_date) + _ontr = CreditIndex("HY", on_the_run("HY", value_date), "5yr", value_date) _ontr.mark() - _beta = {'HY': 1, 'IG': .3, 'EU': .22, "BS": 0.5} + _beta = {"HY": 1, "IG": 0.3, "EU": 0.22, "BS": 0.5} |