diff options
Diffstat (limited to 'python/cds_curve.py')
| -rw-r--r-- | python/cds_curve.py | 4 |
1 files changed, 3 insertions, 1 deletions
diff --git a/python/cds_curve.py b/python/cds_curve.py index ba353269..2e21310d 100644 --- a/python/cds_curve.py +++ b/python/cds_curve.py @@ -120,7 +120,6 @@ def calibrate_portfolio(index_type, series): r = {} for k, s in index_quotes.iterrows(): trade_date = k[0].date() - print(trade_date) sn_quotes = get_singlenames_quotes("{}{}".format(index_type.lower(), series), trade_date) Settings().evaluation_date = Date.from_datetime(trade_date) @@ -148,3 +147,6 @@ def calibrate_portfolio(index_type, series): d['tweak'].append(eps) r[trade_date] = pd.DataFrame(d, index=tenors) return pd.concat(d) + +if __name__=="__main__": + df = calibrate_portfolio("IG", 27) |