diff options
| -rw-r--r-- | python/analytics/index.py | 2 | ||||
| -rw-r--r-- | python/analytics/tranche_basket.py | 8 |
2 files changed, 6 insertions, 4 deletions
diff --git a/python/analytics/index.py b/python/analytics/index.py index d241d76a..8bdddf03 100644 --- a/python/analytics/index.py +++ b/python/analytics/index.py @@ -126,7 +126,7 @@ class CreditIndex(CreditDefaultSwap): ) self._quote_is_price = index_type == "HY" self._indic = tuple( - (ld.date(), factor / 100, cumloss, version) + (ld, factor / 100, cumloss, version) for ld, factor, cumloss, version in ( df[ ["lastdate", "indexfactor", "cumulativeloss", "version"] diff --git a/python/analytics/tranche_basket.py b/python/analytics/tranche_basket.py index 985ade28..1af37dd9 100644 --- a/python/analytics/tranche_basket.py +++ b/python/analytics/tranche_basket.py @@ -613,7 +613,7 @@ class DualCorrTranche: ), ) try: - ref, = c.fetchone() + (ref,) = c.fetchone() except TypeError: raise MissingDataError( f"{type(self).__name__}: No market quote for date {self.value_date}" @@ -717,7 +717,9 @@ class DualCorrTranche: ) def theta(self, method="ATM", skew=None): - if self.maturity + relativedelta(years=-1) <= self.value_date + relativedelta(days=1): + if self.maturity + relativedelta(years=-1) <= self.value_date + relativedelta( + days=1 + ): raise ValueError("less than one year left") def aux(x, K2, shortened): @@ -841,7 +843,7 @@ class TrancheBasket(BasketIndex): super().__init__(index_type, series, [tenor], value_date=value_date) self.tenor = tenor index_desc = self.index_desc.reset_index("maturity").set_index("tenor") - self.maturity = index_desc.loc[tenor].maturity.date() + self.maturity = index_desc.loc[tenor, "maturity"].date() try: self._set_tranche_quotes(value_date) except ValueError as e: |