1 files changed, 17 insertions, 9 deletions
diff --git a/python/yieldcurve.py b/python/yieldcurve.py
index dea4036b..3a209f1e 100644
--- a/python/yieldcurve.py
+++ b/python/yieldcurve.py
@@ -1,8 +1,10 @@
 from common import root
 from contextlib import closing
+from itertools import islice
 import datetime
 import lz4
 import os
+import pandas as pd
 from quantlib.settings import Settings
 from quantlib.time.api import (WeekendsOnly, Date, Period, Days, Schedule, Annual,
                                Semiannual, today, Actual360, Months, Years,
@@ -164,23 +166,29 @@ def ql_to_jp(ql_yc):
     else:
         raise RuntimeErrror('QuantLib curve needs to use Discount trait')
 
-def build_curves():
+def build_curves(currency="USD"):
     settings = Settings()
     calendar = WeekendsOnly()
-    isda_ibor = IborIndex("IsdaIbor", Period(3, Months), 2, USDCurrency(), calendar,
-                          ModifiedFollowing, False, Actual360())
-    fix_freq = Semiannual
-
-    quotes = [SimpleQuote() for c in USD_rates.columns]
-    gen = zip(quotes, USD_rates.columns)
+    if currency == "USD":
+        isda_ibor = IborIndex("IsdaIbor", Period(3, Months), 2, USDCurrency(), calendar,
+                              ModifiedFollowing, False, Actual360())
+        fix_freq = Semiannual
+    elif currency == "EUR":
+        isda_ibor = IborIndex("IsdaIbor", Period(6, Months), 2, EURCurrency(), calendar,
+                              ModifiedFollowing, False, Actual360())
+        fix_freq = Annual
+    engine = dbengine('serenitasdb')
+    rates = pd.read_sql_table('{}_rates'.format(currency.lower()), engine, index_col='effective_date')
+    quotes = [SimpleQuote() for c in rates.columns]
+    gen = zip(quotes, rates.columns)
     deps = [DepositRateHelper(q, Period(t), 2, calendar, ModifiedFollowing,
                               False, Actual360()) for q, t in islice(gen, 6)]
     swaps = [SwapRateHelper.from_tenor(q, Period(t), calendar,
                                        fix_freq, ModifiedFollowing,
                                        Thirty360(), isda_ibor) for q, t in gen]
-    sql_str = "INSERT INTO USD_curves VALUES(%s, %s) ON CONFLICT DO NOTHING"
+    sql_str = "INSERT INTO {}_curves VALUES(%s, %s) ON CONFLICT DO NOTHING".format(currency)
     conn = dbconn('serenitasdb')
-    for effective_date, curve_data in USD_rates.iterrows():
+    for effective_date, curve_data in rates.iterrows():
         print(effective_date)
         settings.evaluation_date = Date.from_datetime(effective_date)
         for q, val in zip(quotes, curve_data):