diff options
Diffstat (limited to 'python/analytics/index_data.py')
| -rw-r--r-- | python/analytics/index_data.py | 9 |
1 files changed, 5 insertions, 4 deletions
diff --git a/python/analytics/index_data.py b/python/analytics/index_data.py index 22862bdf..8e6eda32 100644 --- a/python/analytics/index_data.py +++ b/python/analytics/index_data.py @@ -132,15 +132,16 @@ def get_singlenames_quotes(indexname, date): c.execute("SELECT * FROM curve_quotes(%s, %s)", vars=(indexname, date)) return [r for r in c] -def build_curve(r, today_date, yc, start_date, step_in_date, value_date, end_dates): +def build_curve(r, tenors, currency="USD"): 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) try: - sc = SpreadCurve(today_date, yc, start_date, step_in_date, value_date, - end_dates, spread_curve, upfront_curve, recovery_curve, + sc = SpreadCurve(r['date'], yc, None, None, None, + tenors, spread_curve, upfront_curve, recovery_curve, ticker=r['cds_ticker']) - if len(sc) != end_dates.shape[0]: + if len(sc) != tenors.shape[0]: sc = fill_curve(sc, end_dates) except ValueError as e: print(r[0], e) |