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Diffstat (limited to 'python/analytics/basket_index.py')
| -rw-r--r-- | python/analytics/basket_index.py | 4 |
1 files changed, 3 insertions, 1 deletions
diff --git a/python/analytics/basket_index.py b/python/analytics/basket_index.py index 0347a224..7e70866f 100644 --- a/python/analytics/basket_index.py +++ b/python/analytics/basket_index.py @@ -133,7 +133,9 @@ class MarkitBasketIndex(BasketIndex): unstack(). groupby(level='date', as_index=False).nth(0). reset_index(['index', 'series', 'version'], drop=True)) - self.index_quotes.columns = self.index_desc.loc[self.index_quotes.columns, "maturity"] + self.index_quotes.columns = (self.index_desc.reset_index(). + set_index('tenor'). + loc[self.index_quotes.columns, "maturity"]) self.index_quotes = 1 - self.index_quotes / 100 def _get_quotes(self): |