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Diffstat (limited to 'python/calibrate_swaption.py')
| -rw-r--r-- | python/calibrate_swaption.py | 2 |
1 files changed, 2 insertions, 0 deletions
diff --git a/python/calibrate_swaption.py b/python/calibrate_swaption.py index ba5066ba..cbb8d5c7 100644 --- a/python/calibrate_swaption.py +++ b/python/calibrate_swaption.py @@ -16,6 +16,7 @@ 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 def get_data_latest(): @@ -28,6 +29,7 @@ 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 |