diff options
| -rw-r--r-- | python/pnl_explain.py | 4 |
1 files changed, 2 insertions, 2 deletions
diff --git a/python/pnl_explain.py b/python/pnl_explain.py index 4020fbaf..6e02eda7 100644 --- a/python/pnl_explain.py +++ b/python/pnl_explain.py @@ -18,7 +18,7 @@ def get_index_pv( conn: connection, strategies: Union[Tuple[str], None] = None, ): - dr = pd.bdate_range(start_date, end_date, freq=bus_day) + dr = pd.bdate_range(start_date, next_business_day(end_date), freq=bus_day) if strategies is None: return pd.DataFrame(0.0, index=dr, columns=["pv", "upfront", "accrued"]) pvs = [] @@ -70,7 +70,7 @@ def get_swaption_pv( conn: connection, **kwargs, ): - dr = pd.bdate_range(start_date, end_date, freq=bus_day) + dr = pd.bdate_range(start_date, next_business_day(end_date), freq=bus_day) pv = [] daily = [] dates = [] |