diff options
Diffstat (limited to 'python/markit/cds.py')
| -rw-r--r-- | python/markit/cds.py | 5 |
1 files changed, 2 insertions, 3 deletions
diff --git a/python/markit/cds.py b/python/markit/cds.py index b25c2df0..2ae7692f 100644 --- a/python/markit/cds.py +++ b/python/markit/cds.py @@ -7,7 +7,7 @@ import zipfile import time
from common import root
from pandas.tseries.offsets import BDay
-
+import pandas as pd
logger = logging.getLogger(__name__)
def convertToNone(v):
@@ -29,8 +29,7 @@ def download_cds_data(payload): def download_composite_data(payload, historical=False):
## if historical, we want to maintain the invariant mtime(f)== payload['date'] + BDay(1)
if historical:
- ts = datetime.datetime.strptime(payload['date'], "%Y%m%d") + BDay(1)
- ts = ts.timestamp()
+ ts = (pd.Timestamp(payload['date']) + BDay(1)).timestamp()
for report in ['COMPOSITES', 'TRANCHE_COMPOSITES']:
for family in ['CDX', 'ITRAXX-EUROPE']:
payload.update({'family': family, 'report': report})
|
