yield_curve_store.py 文件源码

def get_yield_curve(self, start_date, end_date, tenor):
        d1 = start_date.year * 10000 + start_date.month * 100 + start_date.day
        d2 = end_date.year * 10000 + end_date.month * 100 + end_date.day

        s = self._dates.searchsorted(d1)
        e = self._dates.searchsorted(d2, side='right')

        if e == len(self._dates):
            e -= 1
        if self._dates[e] == d2:
            # ?? end_date
            e += 1

        if e < s:
            return None

        df = pd.DataFrame(self._table[s:e])
        df.index = pd.Index(pd.Timestamp(str(d)) for d in df['date'])
        del df['date']

        df.rename(columns=lambda n: n[1:]+n[0], inplace=True)
        if tenor is not None:
            return df[tenor]
        return df