diff options
Diffstat (limited to 'python/cds_curve.py')
| -rw-r--r-- | python/cds_curve.py | 11 |
1 files changed, 5 insertions, 6 deletions
diff --git a/python/cds_curve.py b/python/cds_curve.py index 7408e0e1..67851f33 100644 --- a/python/cds_curve.py +++ b/python/cds_curve.py @@ -37,7 +37,7 @@ def build_curve(r, today_date, yc, start_date, step_in_date, value_date, end_dat if len(sc) != end_dates.shape[0]: sc = fill_curve(sc, end_dates) except ValueError as e: - print(e) + print(r[0], e) return None return sc @@ -97,12 +97,11 @@ def calibrate_portfolio(index_type, series, tenors=['3yr', '5yr', '7yr', '10yr'] else: recovery = 0.3 index_quotes = (get_index_quotes(index_type, series, - tenors)['closeprice']. + tenors, years=None)['closeprice']. unstack(). reset_index(level='version'). groupby(level='date').nth(0). set_index('version', append=True)) - index_desc = pd.read_sql_query("SELECT tenor, maturity, coupon * 1e-4 AS coupon, " \ "issue_date "\ "FROM index_maturity " \ @@ -113,8 +112,8 @@ def calibrate_portfolio(index_type, series, tenors=['3yr', '5yr', '7yr', '10yr'] index_quotes.columns = index_desc.loc[index_quotes.columns, "maturity"] index_quotes = 1 - index_quotes / 100 issue_date = index_desc.issue_date[0] - index_desc = index_desc.set_index('maturity') maturities = index_quotes.columns.sort_values().to_pydatetime() + index_desc = index_desc.reset_index().set_index('maturity') start_date = start_date or index_quotes.index.get_level_values(0)[0] index_quotes = index_quotes[start_date:] curves, _ = get_singlenames_curves(index_type, series, start_date) @@ -159,12 +158,12 @@ def calibrate_portfolio(index_type, series, tenors=['3yr', '5yr', '7yr', '10yr'] tweak.append(eps) r[trade_date] = pd.DataFrame({'duration': duration, 'theta': theta, - 'tweak': tweak}, index=tenors) + 'tweak': tweak}, index=quotes.tenor) return pd.concat(r) if __name__=="__main__": enable_logging() - index, series = "IG", 23 + index, series = "IG", 21 df = calibrate_portfolio(index, series, ['3yr', '5yr', '7yr', '10yr']) conn = dbconn('serenitasdb') with conn.cursor() as c: |