diff options
Diffstat (limited to 'python/analytics/basket_index.py')
| -rw-r--r-- | python/analytics/basket_index.py | 14 |
1 files changed, 7 insertions, 7 deletions
diff --git a/python/analytics/basket_index.py b/python/analytics/basket_index.py index 7b0fa8f8..0347a224 100644 --- a/python/analytics/basket_index.py +++ b/python/analytics/basket_index.py @@ -17,7 +17,7 @@ class BasketIndex(CreditIndex): value_date: pd.Timestamp tweaks: List[float] - def __init__(self, index_type: str, series: int, tenors: List[str], *args, + def __init__(self, index_type: str, series: int, tenors: List[str], *, trade_date: pd.Timestamp=pd.Timestamp.today().normalize() - BDay()): self.index_type = index_type self.series = series @@ -33,7 +33,7 @@ class BasketIndex(CreditIndex): index_col='tenor', params=(index_type, series), parse_dates=['maturity', 'issue_date']) - r = _engine.execute("SELECT lastdate, indexfactor/100 AS factor, cumulativeloss, version " \ + r = _engine.execute("SELECT lastdate, indexfactor/100 AS factor, cumulativeloss/100, version " \ "FROM index_version " \ "WHERE index = %s AND series = %s" \ "ORDER BY lastdate", (index_type, series)) @@ -57,15 +57,15 @@ class BasketIndex(CreditIndex): @property def factor(self): - return self._query_version(1) + return self._query_version(0) @property def cumloss(self): - return self._query_version(2) + return self._query_version(1) @property def version(self): - return self._query_version(3) + return self._query_version(2) def _get_quotes(self): pass @@ -125,9 +125,9 @@ class BasketIndex(CreditIndex): self.tweak_portfolio(eps, m) class MarkitBasketIndex(BasketIndex): - def __init__(self, index_type: str, series: int, tenors: List[str], *args, + def __init__(self, index_type: str, series: int, tenors: List[str], *, trade_date: pd.Timestamp=pd.Timestamp.today().normalize() - BDay()): - super().__init__(index_type, series, tenors, *args, trade_date) + super().__init__(index_type, series, tenors, trade_date=trade_date) self.index_quotes = (get_index_quotes(index_type, series, tenors, years=None)['closeprice']. unstack(). |