diff options
Diffstat (limited to 'python/index_data.py')
| -rw-r--r-- | python/index_data.py | 10 |
1 files changed, 5 insertions, 5 deletions
diff --git a/python/index_data.py b/python/index_data.py index 21e202b6..dbe60a2e 100644 --- a/python/index_data.py +++ b/python/index_data.py @@ -134,9 +134,9 @@ def get_singlenames_quotes(indexname, date): return [r for r in c] def build_curve(r, today_date, yc, start_date, step_in_date, value_date, end_dates): - spread_curve = 1e-4 * np.array(r['spread_curve'][1:], dtype='float') - upfront_curve = 1e-2 * np.array(r['upfront_curve'][1:], dtype='float') - recovery_curve = np.array(r['recovery_curve'][1:], dtype='float') + spread_curve = 1e-4 * np.array(r['spread_curve'], dtype='float') + upfront_curve = 1e-2 * np.array(r['upfront_curve'], dtype='float') + recovery_curve = np.array(r['recovery_curve'], dtype='float') try: sc = SpreadCurve(today_date, yc, start_date, step_in_date, value_date, end_dates, spread_curve, upfront_curve, recovery_curve, @@ -159,14 +159,14 @@ def build_curves_dist(quotes, args, workers=4): return r def get_singlenames_curves(index_type, series, trade_date): - end_dates = roll_date(trade_date, [1, 2, 3, 4, 5, 7, 10], nd_array=True) + end_dates = roll_date(trade_date, [0.5, 1, 2, 3, 4, 5, 7, 10], nd_array=True) sn_quotes = get_singlenames_quotes("{}{}".format(index_type.lower(), series), trade_date.date()) currency = "EUR" if index_type in ["XO", "EU"] else "USD" jp_yc = get_curve(trade_date, currency) start_date = previous_twentieth(trade_date) step_in_date = trade_date + datetime.timedelta(days=1) - value_date = pd.Timestamp(trade_date) + 3* BDay() + 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 |