diff options
Diffstat (limited to 'python/analytics/curve_trades.py')
| -rw-r--r-- | python/analytics/curve_trades.py | 6 |
1 files changed, 3 insertions, 3 deletions
diff --git a/python/analytics/curve_trades.py b/python/analytics/curve_trades.py index f76f6b88..b989bd69 100644 --- a/python/analytics/curve_trades.py +++ b/python/analytics/curve_trades.py @@ -1,6 +1,6 @@ from analytics.index_data import get_index_quotes, index_returns from db import dbengine -from analytics import Index, Portfolio +from analytics import CreditIndex, Portfolio from analytics.utils import roll_date from dateutil.relativedelta import relativedelta from analytics.basket_index import MarkitBasketIndex @@ -278,8 +278,8 @@ def curve_pos(value_date, index_type='IG'): df = pd.read_sql_query(sql_string, dawndb, params=[value_date, f'SER_{index_type}CURVE']) - portf = Portfolio([Index.from_name(row.index, row.series, row.tenor, - value_date, -row.notional) + portf = Portfolio([CreditIndex(row.index, row.series, row.tenor, + value_date, -row.notional) for row in df[['index', 'tenor', 'series', 'notional']]. itertuples(index=False)]) portf.mark() |