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Diffstat (limited to 'python/analytics/basket_index.py')
| -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 a9dedbc6..baaa23a2 100644 --- a/python/analytics/basket_index.py +++ b/python/analytics/basket_index.py @@ -233,7 +233,8 @@ class MarkitBasketIndex(BasketIndex): value_date: pd.Timestamp=pd.Timestamp.today().normalize() - BDay()): super().__init__(index_type, series, tenors, value_date=value_date) self.index_quotes = (get_index_quotes(index_type, series, - tenors, years=None)['closeprice']. + tenors, years=None, + remove_holidays=False)['closeprice']. unstack(). groupby(level='date', as_index=False).nth(0). reset_index(['index', 'series', 'version'], drop=True)) |