diff options
Diffstat (limited to 'python/analytics')
| -rw-r--r-- | python/analytics/option.py | 6 |
1 files changed, 4 insertions, 2 deletions
diff --git a/python/analytics/option.py b/python/analytics/option.py index 6ac45a2b..ac14ca87 100644 --- a/python/analytics/option.py +++ b/python/analytics/option.py @@ -460,8 +460,10 @@ def _get_keys(df, models=["black", "precise"]): class QuoteSurface(): def __init__(self, index_type, series, tenor='5yr', trade_date=datetime.date.today()): self._quotes = pd.read_sql_query( - "SELECT swaption_quotes.*, ref, fwdspread FROM swaption_quotes " \ - "JOIN swaption_ref_quotes USING (quotedate, index, series, expiry)" \ + "SELECT quotedate, index, series, ref, fwdspread, expiry, " \ + "swaption_quotes.*, source " \ + "FROM swaption_quotes " \ + "JOIN swaption_ref_quotes USING (ref_id)" \ "WHERE quotedate::date = %s AND index= %s AND series = %s " \ "AND quote_source != 'SG' " \ "ORDER BY quotedate DESC", |