diff options
Diffstat (limited to 'python/calibrate_swaption.py')
| -rw-r--r-- | python/calibrate_swaption.py | 12 |
1 files changed, 6 insertions, 6 deletions
diff --git a/python/calibrate_swaption.py b/python/calibrate_swaption.py index 40e6ccd4..7df03c92 100644 --- a/python/calibrate_swaption.py +++ b/python/calibrate_swaption.py @@ -15,11 +15,11 @@ def get_data(index, series, date = datetime.date.min): "USING (quotedate, index, series, expiry) WHERE index=%s and series=%s " \ "and quotedate >=%s ORDER BY quotedate", serenitas_engine, - params = (index, series, date), parse_dates = ['quotedate', 'expiry']) + params=(index, series, date), parse_dates=['quotedate', 'expiry']) df.loc[(df.quote_source == "GS") & (df['index'] =="HY"), - ["pay_bid", "pay_offer", "rec_bid", "rec_offer"]] *=100 + ["pay_bid", "pay_offer", "rec_bid", "rec_offer"]] *= 100 try: - df.quotedate = df.quotedate.dt.tz_localize('UTC') + df.quotedate = df.quotedate.dt.tz_localize('America/New_York') except TypeError: pass finally: @@ -32,11 +32,11 @@ def get_data_latest(): "USING (quotedate, index, series, expiry, strike) " \ "WHERE swaption_calib.quotedate is NULL", serenitas_engine, - parse_dates = ['quotedate', 'expiry']) - df.loc[(df.quote_source == "GS") & (df['index'] =="HY"), + parse_dates=['quotedate', 'expiry']) + df.loc[(df.quote_source == "GS") & (df['index'] == "HY"), ["pay_bid", "pay_offer", "rec_bid", "rec_offer"]] *=100 try: - df.quotedate = df.quotedate.dt.tz_localize('UTC') + df.quotedate = df.quotedate.dt.tz_localize('America/New_York') except TypeError: pass finally: |