diff options
Diffstat (limited to 'python/analytics/index.py')
| -rw-r--r-- | python/analytics/index.py | 2 |
1 files changed, 1 insertions, 1 deletions
diff --git a/python/analytics/index.py b/python/analytics/index.py index 06cd329c..4fcfc3d0 100644 --- a/python/analytics/index.py +++ b/python/analytics/index.py @@ -251,7 +251,6 @@ class ForwardIndex: else: self.forward_date = forward_date self.exercise_date_settle = pd.Timestamp(forward_date) + 3 * BDay() - self.df = index._yc.discount_factor(self.exercise_date_settle) self._update() if observer: self.index.observe(self) @@ -293,6 +292,7 @@ class ForwardIndex: return hash(tuple(getattr(self, k) for k in ForwardIndex.__slots__[:-1])) def _update(self, *args): + self.df = self.index._yc.discount_factor(self.exercise_date_settle) if self.index.value_date > self.forward_date: raise ValueError( f"Option expired: value_date {self.index.value_date}" |