diff options
| -rw-r--r-- | python/analytics/basket_index.py | 3 |
1 files changed, 2 insertions, 1 deletions
diff --git a/python/analytics/basket_index.py b/python/analytics/basket_index.py index f495b3bc..261197cc 100644 --- a/python/analytics/basket_index.py +++ b/python/analytics/basket_index.py @@ -6,6 +6,7 @@ import numpy as np import pandas as pd import datetime from scipy.optimize import brentq +from pandas.tseries.offsets import BDay class BasketIndex(CreditIndex): index_type: str @@ -16,7 +17,7 @@ class BasketIndex(CreditIndex): tweaks: List[float] def __init__(self, index_type: str, series: int, tenors: List[str], *args, - trade_date: pd.Timestamp=pd.Timestamp.today().normalize() - pd.Timedelta(days=1)): + trade_date: pd.Timestamp=pd.Timestamp.today().normalize() - BDay()): self.index_type = index_type self.series = series if index_type == 'IG' or index_type == 'EU': |