diff options
Diffstat (limited to 'python/api_quotes')
| -rw-r--r-- | python/api_quotes/quotes.py | 13 |
1 files changed, 10 insertions, 3 deletions
diff --git a/python/api_quotes/quotes.py b/python/api_quotes/quotes.py index 278f1e49..c1d36817 100644 --- a/python/api_quotes/quotes.py +++ b/python/api_quotes/quotes.py @@ -10,6 +10,15 @@ firmness = Literal["FIRM", "INDICATIVE"] asset_class = Literal["CD"] +def maturity_dt(d): + try: + return datetime.date( + int(d["maturityyear"]), int(d["maturitymonth"]), int(d["maturityday"]) + ) + except ValueError: # Sometimes maturity isn't included but we still have tenor + return + + @dataclass class QuoteDetails(Deal, table_name="markit_quote_details", deal_type=None): quotetime: datetime @@ -41,9 +50,7 @@ class Quote(Deal, table_name="markit_quotes", deal_type=None): @classmethod def from_markit_line(cls, d): additional_attributes = { - "maturity": datetime.date( - int(d["maturityyear"]), int(d["maturitymonth"]), int(d["maturityday"]) - ), + "maturity": maturity_dt(d), "msg_id": d["message"]["id"], "quotedate": datetime.datetime.fromtimestamp( d["receiveddatetime"] / 1000 |