diff options
| -rw-r--r-- | python/yieldcurve.py | 6 |
1 files changed, 3 insertions, 3 deletions
diff --git a/python/yieldcurve.py b/python/yieldcurve.py index 94f7ceb1..9dfbd79b 100644 --- a/python/yieldcurve.py +++ b/python/yieldcurve.py @@ -132,10 +132,10 @@ def get_dates(date, currency="USD"): year_periods = [2, 3, 4, 5, 6, 7, 8, 9, 10, 12, 15, 20, 25, 30] calendar = WeekendsOnly() settle_date = calendar.advance(Date.from_datetime(date), 2, 0) - deposit_dates = [calendar.advance(settle_date, period = Period(m, Months), + deposit_dates = [calendar.advance(settle_date, period=Period(m, Months), convention=ModifiedFollowing) \ for m in month_periods] - swap_dates = [calendar.advance(settle_date, period = Period(y, Years), + swap_dates = [calendar.advance(settle_date, period=Period(y, Years), convention=ModifiedFollowing) \ for y in year_periods] dates = deposit_dates + swap_dates @@ -143,7 +143,7 @@ def get_dates(date, currency="USD"): def roll_yc(yc, forward_date): """returns the expected forward yield cuve on a forward_date""" - dates = get_dates(forward_date) + dates = [d for d in yc.dates if d >= forward_date] dfs = np.array([yc.discount_factor(d, forward_date) for d in dates]) return YieldCurve.from_discount_factors(forward_date, dates, dfs, 'ACT/365F') |