diff options
Diffstat (limited to 'python/analytics')
| -rw-r--r-- | python/analytics/__init__.py | 11 |
1 files changed, 10 insertions, 1 deletions
diff --git a/python/analytics/__init__.py b/python/analytics/__init__.py index f3ef8a8f..83fab3eb 100644 --- a/python/analytics/__init__.py +++ b/python/analytics/__init__.py @@ -18,6 +18,7 @@ from .basket_index import MarkitBasketIndex from .tranche_basket import DualCorrTranche, TrancheBasket from .ir_swaption import IRSwaption +import pandas as pd import datetime @@ -34,4 +35,12 @@ def init_ontr(value_date=datetime.date.today()): global _ontr, _beta _ontr = CreditIndex("HY", on_the_run("HY", value_date), "5yr", value_date) _ontr.mark() - _beta = {"HY": 1, "IG": 0.3, "EU": 0.22, "BS": 0.5, "SUBPRIME": 1} + df_beta = pd.read_sql_query( + "select distinct on (asset_class) " + "asset_class, beta from beta " + "where date <= %s order by asset_class, date desc", + dawn_engine, + ["asset_class"], + params=(value_date,), + ) + _beta = df_beta["beta"].to_dict() |