diff options
Diffstat (limited to 'python/calibrate_tranches_BC.py')
| -rw-r--r-- | python/calibrate_tranches_BC.py | 14 |
1 files changed, 8 insertions, 6 deletions
diff --git a/python/calibrate_tranches_BC.py b/python/calibrate_tranches_BC.py index c3f39b7e..47b08e49 100644 --- a/python/calibrate_tranches_BC.py +++ b/python/calibrate_tranches_BC.py @@ -19,7 +19,7 @@ def get_lastdate(conn, index, series, tenor): ) with conn.cursor() as c: c.execute(sql_str, (index, series, tenor)) - date, = c.fetchone() + (date,) = c.fetchone() conn.commit() return date @@ -60,9 +60,9 @@ if __name__ == "__main__": "--tenor", default="5yr", help="Tenor we want to run [default '5yr']" ) parser.add_argument( - "--until", default=pd.Timestamp.now() - BDay(), type=lambda s: pd.Timestamp(s) + "--until", default=pd.Timestamp.now() - BDay(), type=pd.Timestamp ) - parser.add_argument("--start_from", default=None, type=lambda s: pd.Timestamp(s)) + parser.add_argument("--start_from", default=None, type=pd.Timestamp) parser.add_argument( "-d", "--debug", action="store_true", help="more verbose logging" ) @@ -195,9 +195,11 @@ if __name__ == "__main__": except ValueError: df["theta"] = None - df["index_duration"], df["index_expected_loss"], df[ - "index_price" - ] = tranche_index.index_pv() + ( + df["index_duration"], + df["index_expected_loss"], + df["index_price"], + ) = tranche_index.index_pv() df["index_expected_loss"] *= -1 df["index_duration"] -= tranche_index.accrued() df["index_basis"] = tranche_index.tweaks[0] |