diff options
| -rw-r--r-- | python/analytics/index.py | 2 | ||||
| -rw-r--r-- | python/analytics/option.py | 5 | ||||
| -rw-r--r-- | python/analytics/portfolio.py | 2 |
3 files changed, 4 insertions, 5 deletions
diff --git a/python/analytics/index.py b/python/analytics/index.py index 02d2d878..98f399de 100644 --- a/python/analytics/index.py +++ b/python/analytics/index.py @@ -266,7 +266,7 @@ class Index(object): # self._yc = ql_to_jp(self._ql_yc) helpers = rate_helpers(self.currency, evaluation_date=self.value_date) for rh in helpers: - rh.quote += 1e-4 + rh.quote.value += 1e-4 ql_yc = YC(helpers) self._yc = ql_to_jp(ql_yc) self._update() # to force recomputation diff --git a/python/analytics/option.py b/python/analytics/option.py index 4617cdc7..12875221 100644 --- a/python/analytics/option.py +++ b/python/analytics/option.py @@ -453,7 +453,7 @@ class QuoteSurface(): "JOIN swaption_ref_quotes USING (ref_id)" \ "WHERE quotedate::date = %s AND index= %s AND series = %s " \ "AND quote_source != 'SG' " \ - "ORDER BY quotedate DESC", + "ORDER BY quotedate", _engine, parse_dates=['quotedate', 'expiry'], params=(value_date, index_type.upper(), series)) @@ -570,8 +570,7 @@ class ModelBasedVolSurface(VolSurface): """returns list of vol surfaces""" l = super().list(source) if option_type is None: - return list(chain((e + ("payer",) for e in l), - (e + ("receiver",) for e in l))) + return list(chain(*([(e + ("payer",)), (e + ("receiver",))] for e in l))) else: return [e + (option_type,) for e in l] diff --git a/python/analytics/portfolio.py b/python/analytics/portfolio.py index 43d9b5e7..ad09b09e 100644 --- a/python/analytics/portfolio.py +++ b/python/analytics/portfolio.py @@ -72,7 +72,7 @@ class Portfolio: index.value_date = d if len(self.indices) == 0: for swaption in self.swaptions: - self.swaption.value_date = d + swaption.index.value_date = d self._value_date = d def mark(self, source_list=[], option_type=None, model="black", surface_id=None): |