diff options
Diffstat (limited to 'python/exploration')
| -rw-r--r-- | python/exploration/option_trades.py | 4 |
1 files changed, 2 insertions, 2 deletions
diff --git a/python/exploration/option_trades.py b/python/exploration/option_trades.py index 3edda8e4..611fdc83 100644 --- a/python/exploration/option_trades.py +++ b/python/exploration/option_trades.py @@ -66,12 +66,12 @@ def atm_vol_date(index, date): 'WHERE index = %s and quotedate >= %s', serenitasdb, index_col=['quotedate', 'expiry', 'series'], - params=(index.upper(), date)) + params=(index.upper(), date), parse_dates=['quotedate']) index_data = pd.read_sql_query( 'SELECT quotedate, expiry, series, fwdspread FROM swaption_ref_quotes ' \ 'WHERE index= %s and quotedate >= %s', serenitasdb, index_col=['quotedate', 'expiry', 'series'], - params = (index.upper(), date)) + params = (index.upper(), date), parse_dates=['quotedate']) df = df.join(index_data) df = df.groupby(df.index).filter(lambda x: len(x)>=2) df = df.groupby(level=['quotedate', 'expiry', 'series']).apply(atm_vol_fun) |