diff options
| -rw-r--r-- | python/analytics/basket_index.py | 5 |
1 files changed, 5 insertions, 0 deletions
diff --git a/python/analytics/basket_index.py b/python/analytics/basket_index.py index 95cba211..32266205 100644 --- a/python/analytics/basket_index.py +++ b/python/analytics/basket_index.py @@ -180,6 +180,11 @@ class BasketIndex(CreditIndex): spreads = self.spreads().ravel() if use_log: spreads = np.log(spreads) + mask = spreads.isnan() + if mask.any(): + spreads = spreads[~mask] + w = w[~mask] + w /= w.sum() index = np.argsort(spreads) spreads = spreads[index] w = w[index] |