diff options
Diffstat (limited to 'python/analytics/index_data.py')
| -rw-r--r-- | python/analytics/index_data.py | 5 |
1 files changed, 3 insertions, 2 deletions
diff --git a/python/analytics/index_data.py b/python/analytics/index_data.py index df96dbd3..f2069e8e 100644 --- a/python/analytics/index_data.py +++ b/python/analytics/index_data.py @@ -4,7 +4,7 @@ import numpy as np from .utils import tenor_t from functools import lru_cache -from pyisda.curve import SpreadCurve +from pyisda.curve import SpreadCurve, Seniority, DocClause from multiprocessing import Pool from yieldcurve import get_curve @@ -162,7 +162,8 @@ def build_curve(r, tenors): try: sc = SpreadCurve(r['date'], yc, None, None, None, tenors, spread_curve, upfront_curve, recovery_curve, - ticker=r['cds_ticker'], + ticker=r['cds_ticker'], seniority=Seniority[r['seniority']], + doc_clause=DocClause[r['doc_clause']], defaulted=r['event_date']) except ValueError as e: print(r[0], e) |