diff options
Diffstat (limited to 'python')
| -rw-r--r-- | python/cds_curve.py | 18 |
1 files changed, 14 insertions, 4 deletions
diff --git a/python/cds_curve.py b/python/cds_curve.py index a0d14089..2d9c3dbe 100644 --- a/python/cds_curve.py +++ b/python/cds_curve.py @@ -118,8 +118,13 @@ def calibrate_portfolio(index_type, series, tenors=['3yr', '5yr', '7yr', '10yr'] recovery = 0.4 else: recovery = 0.3 - index_quotes = get_index_quotes(index_type, series, - tenors)['closeprice'].unstack() + index_quotes = (get_index_quotes(index_type, series, + tenors)['closeprice']. + unstack(). + reset_index(level='version'). + groupby(level='date').nth(0). + set_index('version', append=True)) + index_desc = pd.read_sql_query("SELECT tenor, maturity, coupon * 1e-4 AS coupon, " \ "issue_date "\ "FROM index_maturity " \ @@ -135,11 +140,16 @@ def calibrate_portfolio(index_type, series, tenors=['3yr', '5yr', '7yr', '10yr'] curves, _ = get_singlenames_curves(index_type, series, issue_date) index = CreditIndex(issue_date, maturities, curves) r = {} + old_version = 1 for k, s in index_quotes.iterrows(): - trade_date = k[0] + trade_date, version = k curves, args = get_singlenames_curves(index_type, series, trade_date) _, jp_yc, _, step_in_date, value_date, _ = args - index.curves = [c for _, c in curves] + if version > old_version: + old_version = version + index = CreditIndex(issue_date, maturities, curves) + else: + index.curves = [c for _, c in curves] tweak, duration, theta = [], [], [] s.name = 'index_quote' quotes = pd.concat([index_desc, s], axis=1) |