diff options
Diffstat (limited to 'python/analytics/index_data.py')
| -rw-r--r-- | python/analytics/index_data.py | 8 |
1 files changed, 4 insertions, 4 deletions
diff --git a/python/analytics/index_data.py b/python/analytics/index_data.py index 9a68f3d5..18aeaaba 100644 --- a/python/analytics/index_data.py +++ b/python/analytics/index_data.py @@ -47,7 +47,7 @@ def insert_quotes(): def get_index_quotes(index=None, series=None, tenor=None, from_date=None, - years=3, remove_holidays=True): + years=3, remove_holidays=True, source='MKIT'): args = locals().copy() del args['remove_holidays'] if args['years'] is not None: @@ -69,7 +69,7 @@ def get_index_quotes(index=None, series=None, tenor=None, from_date=None, where_clause = " AND ".join(make_str(k, v) for k, v in args.items() if v is not None) - sql_str = "SELECT * FROM index_quotes" + sql_str = "SELECT * FROM index_quotes_pre" if where_clause: sql_str = " WHERE ".join([sql_str, where_clause]) @@ -116,11 +116,11 @@ def index_returns(df=None, index=None, series=None, tenor=None, from_date=None, df = get_index_quotes(index, series, tenor, from_date, years) spread_return = (df. groupby(level=['index', 'series', 'tenor', 'version']). - closespread. + close_spread. pct_change(periods=per)) price_return = (df. groupby(level=['index', 'series', 'tenor', 'version']). - closeprice. + close_price. diff() / 100) df = pd.concat([spread_return, price_return], axis=1, keys=['spread_return', 'price_return']) |