diff options
Diffstat (limited to 'python/yieldcurve.py')
| -rw-r--r-- | python/yieldcurve.py | 8 |
1 files changed, 4 insertions, 4 deletions
diff --git a/python/yieldcurve.py b/python/yieldcurve.py index 50588aa6..23f411a8 100644 --- a/python/yieldcurve.py +++ b/python/yieldcurve.py @@ -50,15 +50,15 @@ def YC(date = datetime.date.today(), MarkitData=None, futures = None): futures = get_futures_data(date.date()) m = libor_market('USD(NY)') quotes = [('ED',i+1, v) for i, v in enumerate(futures)] - # if next_imm_date(date, 9) == pydate_to_qldate(date) + Period('2Yr'): - # quotes.pop(8) + if next_imm_date(date, 9) == m.settle_date + Period('2Yr'): + quotes.pop(7) quotes += [('SWAP', k, v) for k, v in MarkitData['swaps'].items()] m.set_quotes(date, quotes) - ts = m.bootstrap_term_structure(interpolator='linear') + ts = m.bootstrap_term_structure() return ts if __name__=="__main__": - date = datetime.date(2013, 12, 23) + date = datetime.datetime(2014, 4, 29) ts = YC(date) cal = Calendar.from_name('USA') p1 = Period('1Mo') |