diff options
| -rw-r--r-- | python/pnl_explain.py | 8 |
1 files changed, 4 insertions, 4 deletions
diff --git a/python/pnl_explain.py b/python/pnl_explain.py index fb23b574..5c0c31ab 100644 --- a/python/pnl_explain.py +++ b/python/pnl_explain.py @@ -20,7 +20,7 @@ def get_index_pv( conn: connection, strategies: Tuple[str] = (), ): - dr = pd.bdate_range(start_date, next_business_day(end_date), freq=bus_day) + dr = pd.bdate_range(start_date, next_business_day(end_date)) if not strategies: return pd.DataFrame(0.0, index=dr, columns=["pv", "upfront", "accrued"]) pvs = [] @@ -120,13 +120,13 @@ def get_tranche_pv( conn: connection, **kwargs, ): - dr = pd.bdate_range(start_date, next_business_day(end_date), freq=bus_day) + dr = pd.bdate_range(start_date, next_business_day(end_date)) pv = [] upfronts = [] accrueds = [] dates = [] - for d in dr: - prev_day = (d - bus_day).date() + for d in dr.date: + prev_day = prev_business_day(d) if previous_twentieth(prev_day, roll=True) == prev_day: # we know prev_day is an accrued payment date # we remove one business day so that previous_twentieth actually returns |