diff options
Diffstat (limited to 'python/cds_curve.py')
| -rw-r--r-- | python/cds_curve.py | 10 |
1 files changed, 5 insertions, 5 deletions
diff --git a/python/cds_curve.py b/python/cds_curve.py index 235f8fa0..ab13a9ef 100644 --- a/python/cds_curve.py +++ b/python/cds_curve.py @@ -2,12 +2,11 @@ from analytics.basket_index import MarkitBasketIndex from pyisda.legs import FeeLeg, ContingentLeg from pyisda.logging import enable_logging -import datetime -import numpy as np import pandas as pd from db import dbconn + def all_curves_pv(curves, today_date, jp_yc, start_date, step_in_date, value_date, maturities): r = {} for d in maturities: @@ -26,7 +25,7 @@ def all_curves_pv(curves, today_date, jp_yc, start_date, step_in_date, value_dat r[pd.Timestamp(d)] = pd.DataFrame.from_records(data, index=tickers, columns=['duration', 'protection_pv']) - return pd.concat(r, axis=1).swaplevel(axis=1).sort_index(axis=1,level=0) + return pd.concat(r, axis=1).swaplevel(axis=1).sort_index(axis=1, level=0) def calibrate_portfolio(index_type, series, tenors=['3yr', '5yr', '7yr', '10yr'], @@ -43,7 +42,8 @@ def calibrate_portfolio(index_type, series, tenors=['3yr', '5yr', '7yr', '10yr'] 'tweak': index.tweaks}, index=tenors) return pd.concat(r) -if __name__=="__main__": + +if __name__ == "__main__": enable_logging() import argparse import sys @@ -70,7 +70,7 @@ if __name__=="__main__": with conn.cursor() as c: for k, s in df.iterrows(): - c.execute("UPDATE index_quotes SET duration2=%s, theta2=%s "\ + c.execute("UPDATE index_quotes SET duration2=%s, theta2=%s " "WHERE date=%s AND tenor=%s AND index=%s AND series=%s", (s.duration, s.theta, k[0], k[1], index, series)) conn.commit() |