diff options
Diffstat (limited to 'python/analytics/basket_index.py')
| -rw-r--r-- | python/analytics/basket_index.py | 12 |
1 files changed, 10 insertions, 2 deletions
diff --git a/python/analytics/basket_index.py b/python/analytics/basket_index.py index f41494fc..e099ef5d 100644 --- a/python/analytics/basket_index.py +++ b/python/analytics/basket_index.py @@ -1,6 +1,6 @@ from index_data import (get_index_quotes, get_singlenames_curves, get_tranche_quotes, _serenitas_engine) -from tranche_functions import credit_schedule +from .tranche_functions import credit_schedule from dateutil.relativedelta import relativedelta from pyisda.credit_index import CreditIndex from typing import List @@ -35,6 +35,14 @@ class BasketIndex(CreditIndex): index_col='tenor', params=(index_type, series), parse_dates=['maturity', 'issue_date']) + self._index_version = pd.read_sql_query("SELECT lastdate, indexfactor, cumulativeloss " \ + "FROM index_version " \ + "WHERE index=%s AND series = %s" \ + "ORDER BY lastdate", + _serenitas_engine, + index_col='lastdate', + params=(index_type, series), + parse_dates=['lastdate']) self.issue_date = self.index_desc.issue_date[0] maturities = self.index_desc.maturity.sort_values().dt.to_pydatetime() self.index_desc = self.index_desc.reset_index().set_index('maturity') @@ -128,7 +136,7 @@ class TrancheBasket(BasketIndex): self.maturity = index_desc.loc[tenor].maturity self.start_date, self.cs = credit_schedule(trade_date, tenor[:-1], 1, self.yc) self.K_orig = [0] + [q['detach'] for q in self.tranche_quotes] - self.K = adjust_attachments(self.K_orig, self + #self.K = adjust_attachments(self.K_orig, self def _get_quotes(self): refprice = self.tranche_quotes[0]['indexrefprice'] |