diff options
Diffstat (limited to 'python')
| -rw-r--r-- | python/quote_parsing/parse_emails.py | 15 |
1 files changed, 11 insertions, 4 deletions
diff --git a/python/quote_parsing/parse_emails.py b/python/quote_parsing/parse_emails.py index 982fa4c7..02d0ee94 100644 --- a/python/quote_parsing/parse_emails.py +++ b/python/quote_parsing/parse_emails.py @@ -499,12 +499,19 @@ def parse_cs(fh, indextype, series, quotedate): if m: if indextype == "IG": ref, fwdspread, expiry, fwdbpv = m.groups() + expiry = pd.to_datetime(expiry, format="%d-%b-%y") + d.update( + { + "ref": ref, + "expiry": expiry, + "fwdspread": fwd, + "fwdbpv": fwdbpv, + } + ) else: ref, fwdprice, expiry = m.groups() - expiry = pd.to_datetime(expiry, format="%d-%b-%y") - d.update({"ref": ref, "expiry": expiry, "fwd": fwd}) - if indextype == "IG": - d.update({"fwd_dv01": fwd_dv01}) + expiry = pd.to_datetime(expiry, format="%d-%b-%y") + d.update({"ref": ref, "expiry": expiry, "fwdprice": fwd}) fwd_index.append(d.copy()) option_stack[expiry] = parse_cs_block(fh, indextype) else: |