diff options
Diffstat (limited to 'python/analytics/utils.py')
| -rw-r--r-- | python/analytics/utils.py | 7 |
1 files changed, 7 insertions, 0 deletions
diff --git a/python/analytics/utils.py b/python/analytics/utils.py index c75a0018..8a738a2b 100644 --- a/python/analytics/utils.py +++ b/python/analytics/utils.py @@ -6,6 +6,13 @@ from dateutil.relativedelta import relativedelta, WE from functools import partial, wraps from pyisda.date import pydate_to_TDate from pandas.api.types import CategoricalDtype +from pandas.tseries.offsets import CustomBusinessDay, Day, QuarterBegin +from pandas.tseries.holiday import get_calendar, HolidayCalendarFactory, GoodFriday + +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(['1m', '3m', '6m', '1yr', '2yr', '3yr', '4yr', |