diff options
Diffstat (limited to 'python/reto.py')
| -rw-r--r-- | python/reto.py | 13 |
1 files changed, 1 insertions, 12 deletions
diff --git a/python/reto.py b/python/reto.py index ca1a3cea..6d9f163c 100644 --- a/python/reto.py +++ b/python/reto.py @@ -26,17 +26,6 @@ def parse_args(): return parser.parse_args() -def build_vol_surface(portf): - for i in range(1, 6): - for source in ("BAML", "GS", "MS", "JPM"): - try: - vol_surface = generate_vol_surface(portf, i, source) - except IndexError: - pass - else: - return vol_surface - - def gen_spreads(shock_date, fund): Trade.init_ontr(shock_date) ana._local = False @@ -52,7 +41,7 @@ def gen_spreads(shock_date, fund): ], ) portf, _ = build_portfolio(shock_date, shock_date, fund) - vol_surface = build_vol_surface(portf) + vol_surface = generate_vol_surface(portf, try_days_back=10, source="BAML") portf.reset_pv() scens = run_portfolio_scenarios( portf, |