diff options
Diffstat (limited to 'python')
| -rw-r--r-- | python/position.py | 7 |
1 files changed, 6 insertions, 1 deletions
diff --git a/python/position.py b/python/position.py index 02499164..9e00d259 100644 --- a/python/position.py +++ b/python/position.py @@ -227,21 +227,26 @@ def update_swaption_vol( ---------- vol_type : one of 'N', 'V' or 'N_OIS' (normal or log-normal) """ + _alt_exp = {10: "J", 12: "L", 15: "O", 20: "T", 25: "Y", 30: "Z"} match vol_type: case "N": db_vol_type = "Normal" ticker_pattern = "USSN{:0>2}{} {} Curncy" + alt_exp = lambda e, t: e case "V": db_vol_type = "LogNormal" ticker_pattern = "USSV{:0>2}{} {} Curncy" + alt_exp = lambda e, t: e case "N_OIS": db_vol_type = "Normal (OIS)" ticker_pattern = "USSNA{}{} {} Curncy" + sources = ("ICPL", "BGN") + alt_exp = lambda e, t: _alt_exp.get(e, e) if t >= 10 else e mappings = {"A": "1M", "C": "3M", "F": "6M", "I": "9M"} for source in sources: tickers = { - ticker_pattern.format(e, t, source): (e, t) + ticker_pattern.format(alt_exp(e, t), t, source): (e, t) for e, t in product(expiries, tenors) } data = retrieve_data(session, tickers, ["PX_LAST"], start_date=start_from) |