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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 715a7122..6e2608f7 100644 --- a/python/analytics/basket_index.py +++ b/python/analytics/basket_index.py @@ -49,7 +49,8 @@ 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[tenors].sort_values().dt.to_pydatetime() + self.index_desc = self.index_desc.loc[tenors] + maturities = self.index_desc.maturity.sort_values().dt.to_pydatetime() self.index_desc = self.index_desc.reset_index().set_index('maturity') self.index_desc.tenor = self.index_desc.tenor.astype(tenor_t) curves = get_singlenames_curves(index_type, series, trade_date) |