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-rw-r--r--python/analytics/index_data.py13
1 files changed, 10 insertions, 3 deletions
diff --git a/python/analytics/index_data.py b/python/analytics/index_data.py
index 13e6c7b6..61d283e7 100644
--- a/python/analytics/index_data.py
+++ b/python/analytics/index_data.py
@@ -268,9 +268,16 @@ def get_singlenames_curves_prebuilt(conn, index_type, series, trade_date):
def load_all_curves(conn, trade_date):
with conn.cursor() as c:
- c.execute("SELECT curve FROM cds_curves WHERE date=%s", (trade_date,))
- r = [SpreadCurve.from_bytes(b, True) for (b,) in c]
- return pd.Series(r, index=[c.full_ticker for c in r])
+ c.execute(
+ "SELECT curve, referenceentity FROM cds_curves "
+ "LEFT JOIN refentity ON redcode=redentitycode WHERE date=%s",
+ (trade_date,),
+ )
+ r = [(name, SpreadCurve.from_bytes(b, True)) for (b, name) in c]
+ r = pd.DataFrame.from_records(
+ r, columns=["name", "curve"], index=[c.full_ticker for _, c in r]
+ )
+ return r.loc[r.index.drop_duplicates()]
def get_tranche_quotes(