diff options
Diffstat (limited to 'python/calibrate_tranches_BC.py')
| -rw-r--r-- | python/calibrate_tranches_BC.py | 21 |
1 files changed, 10 insertions, 11 deletions
diff --git a/python/calibrate_tranches_BC.py b/python/calibrate_tranches_BC.py index ecf18383..10bb42dc 100644 --- a/python/calibrate_tranches_BC.py +++ b/python/calibrate_tranches_BC.py @@ -1,10 +1,9 @@ from utils.db import dbconn from analytics.tranche_basket import TrancheBasket, MarkitTrancheBasket -from pandas.tseries.offsets import BDay +from analytics.utils import prev_business_day import datetime import logging import numpy as np -import os import pandas as pd from pathlib import Path from yaml import full_load @@ -60,9 +59,11 @@ if __name__ == "__main__": "--tenor", default="5yr", help="Tenor we want to run [default '5yr']" ) parser.add_argument( - "--until", default=pd.Timestamp.now() - BDay(), type=pd.Timestamp + "--until", + default=prev_business_day(datetime.date.today()), + type=datetime.date.fromisoformat, ) - parser.add_argument("--start_from", default=None, type=pd.Timestamp) + parser.add_argument("--start_from", default=None, type=datetime.date.fromisoformat) parser.add_argument( "-d", "--debug", action="store_true", help="more verbose logging" ) @@ -75,7 +76,7 @@ if __name__ == "__main__": if args.markit: TrancheBasket = MarkitTrancheBasket - CODE_DIR = Path(os.environ["CODE_DIR"]) + CODE_DIR = Path(__file__).parent.parent if not args.debug: handler = SerenitasFileHandler(f"calib_tranches_{datetime.date.today()}.log") else: @@ -150,15 +151,13 @@ if __name__ == "__main__": tranche_index = None data = {} - for d in dr: - logger.debug(f"calibrating for {d.date()}") + for d in dr.date: + logger.debug(f"calibrating for {d}") try: if tranche_index is None: - tranche_index = TrancheBasket( - index, series, tenor, value_date=d.date() - ) + tranche_index = TrancheBasket(index, series, tenor, value_date=d) else: - tranche_index.value_date = d.date() + tranche_index.value_date = d except (RuntimeError, ValueError) as e: logger.error(e) continue |