diff options
Diffstat (limited to 'python/quote_parsing/parse_emails.py')
| -rw-r--r-- | python/quote_parsing/parse_emails.py | 3 |
1 files changed, 3 insertions, 0 deletions
diff --git a/python/quote_parsing/parse_emails.py b/python/quote_parsing/parse_emails.py index cdf3aed5..6060c1ac 100644 --- a/python/quote_parsing/parse_emails.py +++ b/python/quote_parsing/parse_emails.py @@ -10,6 +10,7 @@ from psycopg2.extras import execute_values from pathlib import Path from quantlib.time.imm import next_date from quantlib.time.api import Date, pydate_from_qldate +from quantlib.time.date import nth_weekday, Friday from unicodedata import normalize @@ -741,6 +742,8 @@ def parse_gs_eu(fh, index_desc): if m := pat.match(line): expiry = m.group(1) expiry = pd.to_datetime(expiry, format="%b%y") + expiry = nth_weekday(3, Friday, expiry.month, expiry.year) + expiry = pydate_from_qldate(expiry) expiry = pydate_from_qldate(next_date(Date.from_datetime(expiry))) try: ( |