diff options
Diffstat (limited to 'python')
| -rw-r--r-- | python/trade_dataclasses.py | 13 |
1 files changed, 11 insertions, 2 deletions
diff --git a/python/trade_dataclasses.py b/python/trade_dataclasses.py index fe06ce1d..fb27386a 100644 --- a/python/trade_dataclasses.py +++ b/python/trade_dataclasses.py @@ -9,7 +9,12 @@ import csv import datetime from psycopg.types.numeric import Int2BinaryDumper from psycopg import adapters -from serenitas.analytics.dates import next_business_day, previous_twentieth +from serenitas.analytics.dates import ( + next_business_day, + previous_twentieth, + adjust_next_business_day, + prev_business_day, +) from serenitas.utils.db2 import dbconn from serenitas.utils.env import DAILY_DIR from serenitas.utils.remote import SftpClient @@ -388,7 +393,11 @@ class CDSDeal( bbg_ticket_id: str = None def __post_init__(self): - self.effective_date = previous_twentieth(self.trade_date) + start_protection = d + datetime.timedelta(days=1) + effective_date = previous_twentieth(prev_business_day(start_protection)) + self.effective_date = adjust_next_business_day( + previous_twentieth(self.trade_date) + ) def to_markit(self): obj = self.serialize("mtm") |