diff options
Diffstat (limited to 'python/cds_curve.py')
| -rw-r--r-- | python/cds_curve.py | 24 |
1 files changed, 12 insertions, 12 deletions
diff --git a/python/cds_curve.py b/python/cds_curve.py index f22f43ea..74dcbd61 100644 --- a/python/cds_curve.py +++ b/python/cds_curve.py @@ -56,18 +56,18 @@ def build_curves(quotes, args): return [build_curve(q, *args) for q in quotes if q is not None] def get_singlenames_curves(index_type, series, trade_date): - end_dates = roll_date(trade_date, [1, 2, 3, 4, 5, 7, 10]) - sn_quotes = get_singlenames_quotes("{}{}".format(index_type.lower(), series), - trade_date.date()) - Settings().evaluation_date = Date.from_datetime(trade_date) - yc = YC() - jp_yc = ql_to_jp(yc) - start_date = previous_twentieth(trade_date) - step_in_date = trade_date + datetime.timedelta(days=1) - value_date = pd.Timestamp(trade_date) + 3* BDay() - args = (trade_date, jp_yc, start_date, step_in_date, value_date, end_dates) - curves = build_curves_dist(sn_quotes, args) - return curves, args + end_dates = roll_date(trade_date, [1, 2, 3, 4, 5, 7, 10]) + sn_quotes = get_singlenames_quotes("{}{}".format(index_type.lower(), series), + trade_date.date()) + Settings().evaluation_date = Date.from_datetime(trade_date) + yc = YC() + jp_yc = ql_to_jp(yc) + start_date = previous_twentieth(trade_date) + step_in_date = trade_date + datetime.timedelta(days=1) + value_date = pd.Timestamp(trade_date) + 3* BDay() + args = (trade_date, jp_yc, start_date, step_in_date, value_date, end_dates) + curves = build_curves_dist(sn_quotes, args) + return curves, args def all_curves_pv(curves, today_date, jp_yc, start_date, step_in_date, value_date, maturities): r = {} |