diff options
Diffstat (limited to 'python/analytics/basket_index.py')
| -rw-r--r-- | python/analytics/basket_index.py | 6 |
1 files changed, 3 insertions, 3 deletions
diff --git a/python/analytics/basket_index.py b/python/analytics/basket_index.py index d3cc035e..9495d28c 100644 --- a/python/analytics/basket_index.py +++ b/python/analytics/basket_index.py @@ -34,10 +34,10 @@ class BasketIndex(CreditIndex): value_date: pd.Timestamp=pd.Timestamp.today().normalize() - BDay()): self.index_type = index_type self.series = series - if index_type == 'IG' or index_type == 'EU': - self.recovery = 0.4 - else: + if index_type == 'HY': self.recovery = 0.3 + else: + self.recovery = 0.4 self.index_desc = pd.read_sql_query("SELECT tenor, maturity, coupon * 1e-4 AS coupon, " \ "issue_date "\ "FROM index_maturity " \ |