diff options
Diffstat (limited to 'python/analytics/index_data.py')
| -rw-r--r-- | python/analytics/index_data.py | 7 |
1 files changed, 3 insertions, 4 deletions
diff --git a/python/analytics/index_data.py b/python/analytics/index_data.py index 8c769a03..9fcdfea3 100644 --- a/python/analytics/index_data.py +++ b/python/analytics/index_data.py @@ -152,13 +152,13 @@ def get_singlenames_quotes(indexname, date, tenors): return list(r) -def build_curve(r, tenors, currency="USD"): +def build_curve(r, tenors): if r['date'] is None: raise ValueError(f"Curve for {r['cds_ticker']} is missing") spread_curve = 1e-4 * np.array(r['spread_curve'], dtype='float') upfront_curve = 1e-2 * np.array(r['upfront_curve'], dtype='float') recovery_curve = np.array(r['recovery_curve'], dtype='float') - yc = get_curve(r['date'], currency) + yc = get_curve(r['date'], r['currency']) try: sc = SpreadCurve(r['date'], yc, None, None, None, tenors, spread_curve, upfront_curve, recovery_curve, @@ -186,8 +186,7 @@ def build_curves_dist(quotes, args, workers=4): def _get_singlenames_curves(index_type, series, trade_date, tenors): sn_quotes = get_singlenames_quotes(f"{index_type.lower()}{series}", trade_date, tenors) - currency = "EUR" if index_type in ["XO", "EU"] else "USD" - args = (np.array(tenors), currency) + args = (np.array(tenors),) return build_curves_dist(sn_quotes, args) |