diff options
Diffstat (limited to 'python/analytics/curve_trades.py')
| -rw-r--r-- | python/analytics/curve_trades.py | 4 |
1 files changed, 2 insertions, 2 deletions
diff --git a/python/analytics/curve_trades.py b/python/analytics/curve_trades.py index 52589961..455d1422 100644 --- a/python/analytics/curve_trades.py +++ b/python/analytics/curve_trades.py @@ -89,8 +89,8 @@ def curve_returns(index='IG', rolling=6): df = index_returns(index=index, series=list(range(otr - rolling, otr + 1)), tenor=['3yr', '5yr', '7yr', '10yr']) # on-the-run returns - df = df.reset_index().set_index(['date', 'series', 'tenor']) - returns = df.price_return.dropna().unstack(-1).groupby(level='date').nth(-1) + df = df.reset_index('index', drop=True) + returns = df.price_return.dropna().unstack('tenor').groupby(level='date').nth(-1) strategies_return = pd.DataFrame( {'5-10': 1.78 * returns['5yr'] - returns['10yr'], |