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Diffstat (limited to 'python/markit_tranche_quotes.py')
| -rw-r--r-- | python/markit_tranche_quotes.py | 4 |
1 files changed, 3 insertions, 1 deletions
diff --git a/python/markit_tranche_quotes.py b/python/markit_tranche_quotes.py index 04ce9bdb..7264559f 100644 --- a/python/markit_tranche_quotes.py +++ b/python/markit_tranche_quotes.py @@ -68,8 +68,8 @@ for d in csv.DictReader(f, fieldnames=headers): ) d["series"] = int(d["series"]) d["attachment"], d["detachment"] = int(d["attachment"]), int(d["detachment"]) + ref = convert_float(d["reference"]) if d["ticker"] == "CDX-NAHY": - ref = convert_float(d["reference"]) if ref > 110.0 and d["contributor"] == "MS": d["deleted"] = True d["indexrefspread"] = ref @@ -82,6 +82,8 @@ for d in csv.DictReader(f, fieldnames=headers): d["spread" + k] = ( 0 if d["series"] in [9, 10] and d["attachment"] == 10 else 500 ) + else: + d["indexrefspread"] = ref if d["ticker"] == "ITRAXX-Xover": if int(d["attachment"]) < 35: |