diff options
Diffstat (limited to 'python')
| -rw-r--r-- | python/analytics/index.py | 3 | ||||
| -rw-r--r-- | python/yieldcurve.py | 14 |
2 files changed, 12 insertions, 5 deletions
diff --git a/python/analytics/index.py b/python/analytics/index.py index 3d929cd0..8137f63f 100644 --- a/python/analytics/index.py +++ b/python/analytics/index.py @@ -236,6 +236,9 @@ class Index(object): # self._yc = ql_to_jp(self._ql_yc) ql_yc = YC(currency = self.currency) self._yc = ql_to_jp(ql_yc) + # use the rolled forward curve if we price something in the future + if self._yc.base_date < d: + self._yc = self._yc.expected_forward_curve(d) self._trade_date = d self._step_in_date = self.trade_date + datetime.timedelta(days=1) self._accrued = self._fee_leg.accrued(self._step_in_date) diff --git a/python/yieldcurve.py b/python/yieldcurve.py index fa7f153b..c49b6dd1 100644 --- a/python/yieldcurve.py +++ b/python/yieldcurve.py @@ -16,11 +16,13 @@ import numpy as np from quantlib.quotes import SimpleQuote from db import dbconn from pyisda.curve import YieldCurve, BadDay +import warnings def getMarkitIRData(effective_date = datetime.date.today(), currency = "USD"): conn = dbconn("serenitasdb") - sql_str = "SELECT * FROM {}_rates WHERE effective_date = %s".format(currency) + sql_str = "SELECT * FROM {}_rates WHERE effective_date <= %s " \ + "ORDER BY effective_date DESC LIMIT 1".format(currency) with conn.cursor() as c: c.execute(sql_str, (effective_date,)) col_names = [col[0] for col in c.description] @@ -57,10 +59,12 @@ def rate_helpers(currency="USD", MarkitData=None): if not MarkitData: MarkitData = getMarkitIRData(pydate_from_qldate(settings.evaluation_date), currency) if MarkitData['effectiveasof'] != pydate_from_qldate(settings.evaluation_date): - raise RuntimeError("Yield curve effective date: {0} doesn't " \ - "match the evaluation date: {1}".format( - MarkitData['effectiveasof'], - pydate_from_qldate(settings.evaluation_date))) + warnings.warn("Yield curve effective date: {0} doesn't " \ + "match the evaluation date: {1}".format( + MarkitData['effectiveasof'], + pydate_from_qldate(settings.evaluation_date)), + RuntimeWarning) + settings.evaluation_date = Date.from_datetime(MarkitData['effectiveasof']) calendar = WeekendsOnly() if currency == "USD": isda_ibor = IborIndex("IsdaIbor", Period(3, Months), 2, USDCurrency(), calendar, |