diff options
Diffstat (limited to 'python')
| -rw-r--r-- | python/calibrate_tranches_BC.py | 6 |
1 files changed, 4 insertions, 2 deletions
diff --git a/python/calibrate_tranches_BC.py b/python/calibrate_tranches_BC.py index 1e1b2512..d4317f32 100644 --- a/python/calibrate_tranches_BC.py +++ b/python/calibrate_tranches_BC.py @@ -93,6 +93,7 @@ if __name__ == "__main__": "ig27": datetime.date(2016, 9, 27), "ig29": datetime.date(2017, 9, 26), "ig31": datetime.date(2018, 9, 25), + "ig33": datetime.date(2019, 9, 25), "xo22": datetime.date(2014, 10, 20), "xo24": datetime.date(2015, 9, 28), "xo26": datetime.date(2016, 9, 27), @@ -105,6 +106,7 @@ if __name__ == "__main__": "eu26": datetime.date(2016, 9, 27), "eu28": datetime.date(2017, 9, 28), "eu30": datetime.date(2018, 9, 25), + "eu32": datetime.date(2019, 9, 25), "xo30": datetime.date(2018, 9, 25), } @@ -117,7 +119,7 @@ if __name__ == "__main__": with (CODE_DIR / "etc" / args.config).open("r") as fh: config = full_load(fh) - for index, tenor in config["runs"]: + for index, tenor, skewtype in config["runs"]: begin_date = None index, series = index[:2].upper(), int(index[2:]) if args.start_from is not None: @@ -157,7 +159,7 @@ if __name__ == "__main__": logger.error(e) break try: - tranche_index.build_skew() + tranche_index.build_skew(skewtype) except ValueError as e: logger.error(e) continue |