diff options
Diffstat (limited to 'python')
| -rw-r--r-- | python/analytics/index_data.py | 12 |
1 files changed, 8 insertions, 4 deletions
diff --git a/python/analytics/index_data.py b/python/analytics/index_data.py index 1b652b92..c59ea23a 100644 --- a/python/analytics/index_data.py +++ b/python/analytics/index_data.py @@ -148,13 +148,14 @@ def get_singlenames_quotes(indexname, date): conn = dbconn('serenitasdb') with conn.cursor() as c: c.execute("SELECT * FROM curve_quotes(%s, %s)", vars=(indexname, date)) - return [r for r in c] + return list(c) -def build_curve(r, tenors, currency="USD"): +def build_curve(r, tenors, currency="USD", recovery_curve=None): spread_curve = 1e-4 * np.array(r['spread_curve'], dtype='float') upfront_curve = 1e-2 * np.array(r['upfront_curve'], dtype='float') - recovery_curve = np.array(r['recovery_curve'], dtype='float') + if recovery_curve is None: + recovery_curve = np.array(r['recovery_curve'], dtype='float') yc = get_curve(r['date'], currency) try: sc = SpreadCurve(r['date'], yc, None, None, None, @@ -183,7 +184,10 @@ def _get_singlenames_curves(index_type, series, trade_date, tenors): sn_quotes = get_singlenames_quotes(f"{index_type.lower()}{series}", trade_date) currency = "EUR" if index_type in ["XO", "EU"] else "USD" - args = (np.array(tenors), currency) + # we strip curves with a fixed recovery rate + # need to figure out how to do it right + recovery = np.full(len(tenors), 0.3) if index_type == "HY" else np.full(len(tenors), 0.4) + args = (np.array(tenors), currency, recovery) return build_curves_dist(sn_quotes, args) |