diff options
Diffstat (limited to 'python/calibrate_swaption.py')
| -rw-r--r-- | python/calibrate_swaption.py | 17 |
1 files changed, 12 insertions, 5 deletions
diff --git a/python/calibrate_swaption.py b/python/calibrate_swaption.py index b31585b5..7f232bfb 100644 --- a/python/calibrate_swaption.py +++ b/python/calibrate_swaption.py @@ -16,8 +16,12 @@ def get_data(index, series, date = datetime.date.min): 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 - df.quotedate = df.quotedate.dt.tz_localize('UTC') - return df + try: + df.quotedate = df.quotedate.dt.tz_localize('UTC') + except TypeError: + pass + finally: + return df def get_data_latest(): df = pd.read_sql_query("SELECT swaption_quotes.*, ref FROM swaption_quotes " \ @@ -29,9 +33,12 @@ def get_data_latest(): parse_dates = ['quotedate', 'expiry']) df.loc[(df.quote_source == "GS") & (df['index'] =="HY"), ["pay_bid", "pay_offer", "rec_bid", "rec_offer"]] *=100 - df.quotedate = df.quotedate.dt.tz_localize('UTC') - return df - + try: + df.quotedate = df.quotedate.dt.tz_localize('UTC') + except TypeError: + pass + finally: + return df def calib(d, option, expiry, index, series): option.strike = d['strike'] |