diff options
Diffstat (limited to 'python/yieldcurve.py')
| -rw-r--r-- | python/yieldcurve.py | 11 |
1 files changed, 5 insertions, 6 deletions
diff --git a/python/yieldcurve.py b/python/yieldcurve.py index 3a209f1e..354da2e4 100644 --- a/python/yieldcurve.py +++ b/python/yieldcurve.py @@ -2,7 +2,6 @@ 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 @@ -19,7 +18,6 @@ from quantlib.time.date import pydate_from_qldate import numpy as np from quantlib.quotes import SimpleQuote from db import dbconn, dbengine -from pickle import dumps, loads from pyisda.curve import YieldCurve, BadDay import warnings from db import dbengine, dbconn @@ -36,13 +34,14 @@ def get_curves(currency="USD", date=None): c.execute(sql_str, (date,)) if c: curve, = c.fetchone() - return loads(lz4.block.decompress(bytes(curve))) + return YieldCurve.from_bytes(bytes(curve)) else: c.execute(sql_str) - return {d: loads(lz4.block.decompress(bytes(curve))) + return {d: YieldCurve.from_bytes(bytes(curve)) for d, curve in c} -_USD_curves = get_curves() +_USD_curves = get_curves("USD") +_EUR_curves = get_curves("EUR") def getMarkitIRData(effective_date = datetime.date.today(), currency = "USD"): @@ -199,7 +198,7 @@ def build_curves(currency="USD"): 0, calendar, valid_deps + valid_swaps, Actual365Fixed()) jp_yc = ql_to_jp(ql_yc) with conn.cursor() as c: - c.execute(sql_str, (effective_date, lz4.block.compress(dumps(jp_yc)))) + c.execute(sql_str, (effective_date, jp_yc.__getstate__())) conn.commit() if __name__=="__main__": |