diff options
Diffstat (limited to 'python/analytics/__init__.py')
| -rw-r--r-- | python/analytics/__init__.py | 5 |
1 files changed, 3 insertions, 2 deletions
diff --git a/python/analytics/__init__.py b/python/analytics/__init__.py index 7fce2295..8875a11d 100644 --- a/python/analytics/__init__.py +++ b/python/analytics/__init__.py @@ -1,3 +1,4 @@ +from .curve_trades import on_the_run from .index import CreditIndex, ForwardIndex from .option import (BlackSwaption, Swaption, ATMstrike, ProbSurface, QuoteSurface, VolSurface, BlackSwaptionVolSurface) @@ -8,8 +9,8 @@ from .ir_swaption import IRSwaption import datetime -def init_ontr(): +def init_ontr(value_date=datetime.date.today()): global _ontr, _beta - _ontr = CreditIndex('HY', 31, '5yr') + _ontr = CreditIndex('HY', on_the_run("HY", value_date), '5yr', value_date) _ontr.mark() _beta = {'HY': 1, 'IG': .3, 'EU': .22} |