diff options
Diffstat (limited to 'python')
| -rw-r--r-- | python/markit_tranche_quotes.py | 2 |
1 files changed, 1 insertions, 1 deletions
diff --git a/python/markit_tranche_quotes.py b/python/markit_tranche_quotes.py index 161feb83..045300a0 100644 --- a/python/markit_tranche_quotes.py +++ b/python/markit_tranche_quotes.py @@ -46,7 +46,7 @@ for d in csv.DictReader(f, fieldnames=headers): d["quotedate"] = datetime.datetime.strptime(d["time"], "%m/%d/%Y %H:%M:%S") d["quotedate"] = d["quotedate"].replace(tzinfo=datetime.timezone.utc) d["index"] = index_mapping[d["ticker"]] - if d["tenor"] == "20": + if d["tenor"] not in ("1", "2", "3", "4", "5", "7", "10"): continue d["tenor"] = d["tenor"] + "yr" for k1 in ["upfront", "spread", "price"]: |