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Diffstat (limited to 'python/analytics/option.py')
| -rw-r--r-- | python/analytics/option.py | 3 |
1 files changed, 2 insertions, 1 deletions
diff --git a/python/analytics/option.py b/python/analytics/option.py index 1580803d..e5f530bf 100644 --- a/python/analytics/option.py +++ b/python/analytics/option.py @@ -422,7 +422,8 @@ class VolatilitySurface(ForwardIndex): self._quotes = pd.read_sql_query( "SELECT swaption_quotes.*, ref FROM swaption_quotes " \ "JOIN swaption_ref_quotes USING (quotedate, index, series, expiry)" \ - "WHERE quotedate::date = %s and index= %s and series = %s" \ + "WHERE quotedate::date = %s AND index= %s AND series = %s " \ + "AND quote_source != 'SG' " \ "ORDER BY quotedate DESC", engine, parse_dates = ['quotedate', 'expiry'], |