diff options
| -rw-r--r-- | python/thetas-durations.py | 25 |
1 files changed, 14 insertions, 11 deletions
diff --git a/python/thetas-durations.py b/python/thetas-durations.py index 27ae36e2..dce71957 100644 --- a/python/thetas-durations.py +++ b/python/thetas-durations.py @@ -95,17 +95,20 @@ if __name__ == "__main__": step_in_date = value_date + datetime.timedelta(days=1) cash_settle_date = value_date + 3 * BDay() start_date = previous_twentieth(value_date) - sc = SpreadCurve( - value_date, - yc, - start_date, - step_in_date, - cash_settle_date, - data.maturity.values, - data.coupon.values, - data.close_price.values, - recoveries, - ) + try: + sc = SpreadCurve( + value_date, + yc, + start_date, + step_in_date, + cash_settle_date, + data.maturity.values, + data.coupon.values, + data.close_price.values, + recoveries, + ) + except ValueError: + break for r in data[["coupon", "tenor", "close_price"]].itertuples(): fl, fl_short = fee_legs[r.tenor] cl, cl_short = contingent_legs[r.tenor] |