diff options
Diffstat (limited to 'python/cds_curve.py')
| -rw-r--r-- | python/cds_curve.py | 8 |
1 files changed, 6 insertions, 2 deletions
diff --git a/python/cds_curve.py b/python/cds_curve.py index 8875abf8..02e8639e 100644 --- a/python/cds_curve.py +++ b/python/cds_curve.py @@ -63,7 +63,7 @@ if __name__ == "__main__": import os parser = argparse.ArgumentParser() - parser.add_argument("index", help="index type (IG, HY, EU or XO)") + parser.add_argument("index", help="index type (IG, HY, EU, XO or HYBB)") parser.add_argument("series", help="series", type=int) parser.add_argument("--latest", required=False, action="store_true") args = parser.parse_args() @@ -95,7 +95,11 @@ if __name__ == "__main__": logger.addHandler(fh) loggers[1].info(f"filling {index} {series}") - g = calibrate_portfolio(index, series, ["3yr", "5yr", "7yr", "10yr"], start_date) + if index == "HYBB": + tenors = ["5yr"] + else: + tenors = ["3yr", "5yr", "7yr", "10yr"] + g = calibrate_portfolio(index, series, tenors, start_date) with conn.cursor() as c: for id, t in g: c.execute( |