diff options
| -rw-r--r-- | python/analytics/index.py | 6 |
1 files changed, 3 insertions, 3 deletions
diff --git a/python/analytics/index.py b/python/analytics/index.py index d5f9e835..d12f4de3 100644 --- a/python/analytics/index.py +++ b/python/analytics/index.py @@ -23,7 +23,7 @@ def g(index, spread, exercise_date, forward_yc=None, pv=0.): if forward_yc is None: forward_yc = index._yc step_in_date = exercise_date + datetime.timedelta(days=1) - exercise_date_settle = (pd.Timestamp(exercise_date) + 3* BDay()).date() + exercise_date_settle = pd.Timestamp(exercise_date) + 3* BDay() rates = array.array('d', [spread * 1e-4]) sc = SpreadCurve(exercise_date, forward_yc, index.start_date, step_in_date, exercise_date_settle, @@ -276,7 +276,7 @@ class Index(object): 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) - self._value_date = (pd.Timestamp(self._trade_date) + 3* BDay()).date() + self._value_date = pd.Timestamp(self._trade_date) + 3* BDay() if self._spread is not None: self._update() @@ -414,7 +414,7 @@ class ForwardIndex(object): def __init__(self, index, forward_date): self.index = index self.forward_date = forward_date - self.exercise_date_settle = (pd.Timestamp(forward_date) + 3* BDay()).date() + self.exercise_date_settle = pd.Timestamp(forward_date) + 3* BDay() self.df = index._yc.discount_factor(self.exercise_date_settle) self._update() |