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Diffstat (limited to 'python')
| -rw-r--r-- | python/markit_tranche_quotes.py | 2 |
1 files changed, 2 insertions, 0 deletions
diff --git a/python/markit_tranche_quotes.py b/python/markit_tranche_quotes.py index 4c36e9d0..161feb83 100644 --- a/python/markit_tranche_quotes.py +++ b/python/markit_tranche_quotes.py @@ -46,6 +46,8 @@ 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": + continue d["tenor"] = d["tenor"] + "yr" for k1 in ["upfront", "spread", "price"]: for k2 in ["_bid", "_ask"]: |