diff options
Diffstat (limited to 'python/analytics/index.py')
| -rw-r--r-- | python/analytics/index.py | 11 |
1 files changed, 6 insertions, 5 deletions
diff --git a/python/analytics/index.py b/python/analytics/index.py index c4a28a7f..fad1ba30 100644 --- a/python/analytics/index.py +++ b/python/analytics/index.py @@ -352,7 +352,7 @@ class Index(object): else: run = _engine.execute("""SELECT * FROM index_quotes WHERE index=%s AND series=%s AND tenor=%s AND date=%s""", - (self.index_type, self.series, self.tenor, self.value_date)) + (self.index_type, self.series, self.tenor, self.value_date)) rec = run.fetchone() self.spread = rec.closespread @@ -372,14 +372,15 @@ class Index(object): else: return None - def shock(self, params, *, spread_shocks, **kwargs): + def shock(self, params, *, spread_shock, **kwargs): r = [] orig_spread = self.spread - for s in spread_shocks: - self.spread = orig_spread * ( 1 + s ) + for ss in spread_shock: + self.spread = orig_spread * (1 + ss) r.append([getattr(self, p) for p in params]) self.spread = orig_spread - return pd.DataFrame(r, index=spread_shocks) + ind = pd.Index(spread_shock, name='spread_shock', fastpath=True) + return pd.DataFrame(r, index=ind, columns=params) @classmethod def from_name(cls, index=None, series=None, tenor=None, value_date=datetime.date.today(), |