diff options
Diffstat (limited to 'python/yieldcurve.py')
| -rw-r--r-- | python/yieldcurve.py | 9 |
1 files changed, 4 insertions, 5 deletions
diff --git a/python/yieldcurve.py b/python/yieldcurve.py index c8d6ed01..044a5165 100644 --- a/python/yieldcurve.py +++ b/python/yieldcurve.py @@ -18,7 +18,6 @@ import matplotlib.pyplot as plt from quantlib.quotes import SimpleQuote from db import dbconn from pyisda.curve import YieldCurve -import array def getMarkitIRData(effective_date = datetime.date.today(), currency = "USD"): @@ -26,7 +25,7 @@ def getMarkitIRData(effective_date = datetime.date.today(), sql_str = "SELECT * FROM {}_rates WHERE effective_date = %s".format(currency) with conn.cursor() as c: c.execute(sql_str, (effective_date,)) - col_names = [c[0] for c in c.description] + col_names = [col[0] for col in c.description] r = c.fetchone() MarkitData = {'effectiveasof': r[0], 'deposits': [(t, r[i]) for i, t in \ @@ -100,8 +99,8 @@ def get_dates(date, currency="USD"): def roll_yc(yc, forward_date): """returns the expected forward yield cuve on a forward_date""" dates = get_dates(forward_date) - dfs = array.array('d', [yc.discount_factor(d, forward_date) for d in dates]) - return YieldCurve.from_discount_factors(forward_date, dates, array.array('d', dfs), 'ACT/365F') + dfs = np.array([yc.discount_factor(d, forward_date) for d in dates]) + return YieldCurve.from_discount_factors(forward_date, dates, dfs, 'ACT/365F') def YC(helpers = None, currency="USD", MarkitData=None): if helpers is None: @@ -112,7 +111,7 @@ def YC(helpers = None, currency="USD", MarkitData=None): def ql_to_jp(ql_yc): """convert a QuantLib yield curve to a JP's one""" if ql_yc._trait == BootstrapTrait.Discount: - dfs = array.array('d', ql_yc.data[1:]) + dfs = np.array(ql_yc.data[1:]) dates = [pydate_from_qldate(d) for d in ql_yc.dates[1:]] trade_date = pydate_from_qldate(ql_yc.dates[0]) return YieldCurve.from_discount_factors(trade_date, dates, dfs, 'ACT/365F') |