diff options
Diffstat (limited to 'python')
| -rw-r--r-- | python/cds_curve.py | 12 |
1 files changed, 7 insertions, 5 deletions
diff --git a/python/cds_curve.py b/python/cds_curve.py index 74dcbd61..d7313e5c 100644 --- a/python/cds_curve.py +++ b/python/cds_curve.py @@ -1,4 +1,4 @@ -from pyisda.curve import YieldCurve, BadDay, SpreadCurve +from pyisda.curve import YieldCurve, BadDay, SpreadCurve, fill_curve from pyisda.credit_index import CreditIndex from pyisda.legs import FeeLeg, ContingentLeg from pyisda.logging import enable_logging @@ -28,15 +28,17 @@ def get_singlenames_quotes(indexname, date): return [r for r in c] def build_curve(r, today_date, yc, start_date, step_in_date, value_date, end_dates): - spread_curve = 1e-4 * np.array(r['spread_curve'][1:]) - upfront_curve = 1e-2 * np.array(r['upfront_curve'][1:]) - recovery_curve = np.array(r['recovery_curve'][1:]) + spread_curve = 1e-4 * np.array(r['spread_curve'][1:], dtype='float') + upfront_curve = 1e-2 * np.array(r['upfront_curve'][1:], dtype='float') + recovery_curve = np.array(r['recovery_curve'][1:], dtype='float') try: sc = SpreadCurve(today_date, yc, start_date, step_in_date, value_date, end_dates, spread_curve, upfront_curve, recovery_curve, True) + if np.any(np.isnan(upfront_curve)): + sc = fill_curve(sc, end_dates) except ValueError as e: print(e) - pdb.set_trace() + import pdb;pdb.set_trace() return (r['cds_ticker'], sc) def grouper(iterable, n, fillvalue=None): |