diff options
Diffstat (limited to 'python/index_data.py')
| -rw-r--r-- | python/index_data.py | 6 |
1 files changed, 5 insertions, 1 deletions
diff --git a/python/index_data.py b/python/index_data.py index dbe60a2e..3be3b20f 100644 --- a/python/index_data.py +++ b/python/index_data.py @@ -113,7 +113,7 @@ def index_returns(df=None, index=None, series=None, tenor=None, from_date=None, pct_change(periods=per)) df.columns = ['spread_return', 'price_return'] df = df.groupby(level=['date', 'index', 'series', 'tenor']).nth(0) - coupon_data = pd.read_sql_query("SELECT index, series, tenor, coupon FROM " \ + coupon_data = pd.read_sql_query("SELECT index, series, tenor, coupon, maturity FROM " \ "index_maturity WHERE coupon is NOT NULL", _serenitas_engine, index_col=['index', 'series', 'tenor']) def add_accrued(df): @@ -125,6 +125,10 @@ def index_returns(df=None, index=None, series=None, tenor=None, from_date=None, df['price_return'] = (df. groupby(level=['index', 'series', 'tenor'])['price_return']. transform(add_accrued)) + + df = df.reset_index().merge(coupon_data.maturity.reset_index(),on=['index','series','tenor']) + df.set_index(['date', 'index', 'series', 'tenor', 'maturity'], inplace=True) + return df def get_singlenames_quotes(indexname, date): |