diff options
Diffstat (limited to 'python/analytics/utils.py')
| -rw-r--r-- | python/analytics/utils.py | 9 |
1 files changed, 8 insertions, 1 deletions
diff --git a/python/analytics/utils.py b/python/analytics/utils.py index 68edb125..4db12854 100644 --- a/python/analytics/utils.py +++ b/python/analytics/utils.py @@ -13,12 +13,12 @@ from pandas.api.types import CategoricalDtype from pandas.tseries.offsets import CustomBusinessDay from pandas.tseries.holiday import get_calendar, HolidayCalendarFactory, GoodFriday from bbg_helpers import BBG_IP, retrieve_data, init_bbg_session +from quantlib.time.date import nth_weekday, Wednesday, Date fed_cal = get_calendar("USFederalHolidayCalendar") bond_cal = HolidayCalendarFactory("BondCalendar", fed_cal, GoodFriday) bus_day = CustomBusinessDay(calendar=bond_cal()) -from quantlib.time.date import nth_weekday, Wednesday, Date tenor_t = CategoricalDtype( [ @@ -72,6 +72,13 @@ def next_third_wed(d): return y +def prev_business_day(d: datetime.date): + if ((offset := d.weekday() - 4) > 0): + return d - datetime.timedelta(days=offset) + else: + return d + + def tenor_to_float(t: str): if t == "6m": return 0.5 |