diff options
| -rw-r--r-- | python/experiments/test_basket.py | 4 |
1 files changed, 3 insertions, 1 deletions
diff --git a/python/experiments/test_basket.py b/python/experiments/test_basket.py index 4ee5c4c8..d8c93e00 100644 --- a/python/experiments/test_basket.py +++ b/python/experiments/test_basket.py @@ -1,6 +1,8 @@ from analytics import TrancheBasket import pandas as pd -ig29 = TrancheBasket("IG", 29, "5yr", trade_date=pd.Timestamp("2017-12-15")) +from pandas.tseries.offsets import BDay +ig29 = TrancheBasket("IG", 29, "5yr", trade_date=pd.Timestamp.today().normalize() - BDay()) + ig29.tweak() ig29.build_skew() df = ig29.tranche_deltas() |