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Diffstat (limited to 'python/analytics/basket_index.py')
| -rw-r--r-- | python/analytics/basket_index.py | 2 |
1 files changed, 1 insertions, 1 deletions
diff --git a/python/analytics/basket_index.py b/python/analytics/basket_index.py index 1e241226..8bf5a8a2 100644 --- a/python/analytics/basket_index.py +++ b/python/analytics/basket_index.py @@ -46,7 +46,7 @@ class BasketIndex(CreditIndex): "ORDER BY lastdate", (index_type, series)) self._version = tuple(tuple(t) for t in r) self.issue_date = self.index_desc.issue_date[0] - maturities = self.index_desc.maturity.sort_values().dt.to_pydatetime() + maturities = self.index_desc.maturity[tenors].sort_values().dt.to_pydatetime() self.index_desc = self.index_desc.reset_index().set_index('maturity') curves, args = get_singlenames_curves(index_type, series, trade_date) _, jp_yc, _, step_in_date, value_date, _ = args |