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Diffstat (limited to 'python/analytics/basket_index.py')
| -rw-r--r-- | python/analytics/basket_index.py | 7 |
1 files changed, 6 insertions, 1 deletions
diff --git a/python/analytics/basket_index.py b/python/analytics/basket_index.py index 63cb66d0..0701e713 100644 --- a/python/analytics/basket_index.py +++ b/python/analytics/basket_index.py @@ -200,7 +200,12 @@ class BasketIndex(CreditIndex): """ tweak the singlename curves to match index quotes""" quotes = self._get_quotes(*args) self.tweaks = [] - for m, index_quote in quotes.items(): + for m in self.maturities: + if m not in quotes: + self.tweaks.append(np.nan) + continue + else: + index_quote = quotes[m] lo, hi = -0.3, 0.3 hi_tilde = exp(hi) - 1 while hi_tilde < 5: |