diff options
| -rw-r--r-- | pyisda/utils.py | 9 |
1 files changed, 6 insertions, 3 deletions
diff --git a/pyisda/utils.py b/pyisda/utils.py index 38196f0..3a25be5 100644 --- a/pyisda/utils.py +++ b/pyisda/utils.py @@ -19,7 +19,7 @@ def getMarkitIRData(date = datetime.date.today() - datetime.timedelta(days = 1), currency="USD"): filename = "InterestRates_{0}_{1:%Y%m%d}".format(currency, date) r = requests.get('http://www.markit.com/news/{0}.zip'.format(filename)) - if "x-zip" in r.headers['content-type']: + if "zip" in r.headers['content-type']: with zipfile.ZipFile(BytesIO(r.content)) as z: fh = z.open(filename + '.xml') tree = ET.parse(fh) @@ -30,7 +30,8 @@ def getMarkitIRData(date = datetime.date.today() - datetime.timedelta(days = 1), effectiveasof = tree.find('./effectiveasof').text MarkitData = {'deposits': list(deposits), 'swaps': list(swaps), - 'effectiveasof': datetime.datetime.strptime(effectiveasof, "%Y-%m-%d").date()} + 'effectiveasof': datetime.datetime.strptime(effectiveasof[:10], + "%Y-%m-%d").date()} return MarkitData else: return getMarkitIRData(date-datetime.timedelta(days=1)) @@ -53,7 +54,8 @@ def rate_helpers(currency="USD", MarkitData=None): isda_ibor = IborIndex("IsdaIbor", Period(6, Months), 2, EURCurrency(), calendar, ModifiedFollowing, False, Actual360()) fix_freq = Annual - deps = [DepositRateHelper(q, Period(t), 2, calendar, ModifiedFollowing, False, Actual360()) + deps = [DepositRateHelper(q, Period(t), 2, calendar, ModifiedFollowing, + False, Actual360()) for t, q in MarkitData['deposits']] # this matches with bloomberg, but according to Markit, maturity should be unadjusted swaps = [SwapRateHelper.from_tenor(q, Period(t), calendar, fix_freq, ModifiedFollowing, @@ -70,6 +72,7 @@ def YC(currency="USD", helpers = None, MarkitData=None): def build_yc(trade_date, ql_curve = False): markit_data = getMarkitIRData(trade_date-datetime.timedelta(days=1)) + if ql_curve: settings = Settings() settings.evaluation_date = Date.from_datetime(trade_date) |