diff options
Diffstat (limited to 'python/analytics/index.py')
| -rw-r--r-- | python/analytics/index.py | 5 |
1 files changed, 1 insertions, 4 deletions
diff --git a/python/analytics/index.py b/python/analytics/index.py index f27bef6d..85842d15 100644 --- a/python/analytics/index.py +++ b/python/analytics/index.py @@ -148,7 +148,7 @@ class Index(object): raise ValueError("Direction needs to be either 'Buyer' or 'Seller'") def _update(self): - self._sc = SpreadCurve(self.value_date, self._yc, self.start_date, + self._sc = SpreadCurve(self._yc.base_date, self._yc, self.start_date, self._step_in_date, self._cash_settle_date, [self.end_date], np.array([self._spread]), np.zeros(1), np.array([self.recovery])) @@ -313,9 +313,6 @@ class Index(object): d = d.date() self.start_date = previous_twentieth(d) self._yc = get_curve(d, self.currency) - # use the rolled forward curve if we price something in the future - # if self._yc.base_date < d: - # self._yc = self._yc.expected_forward_curve(d) self._value_date = d self._step_in_date = d + datetime.timedelta(days=1) self._accrued = self._fee_leg.accrued(self._step_in_date) |