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Diffstat (limited to 'python/analytics/index.py')
| -rw-r--r-- | python/analytics/index.py | 3 |
1 files changed, 2 insertions, 1 deletions
diff --git a/python/analytics/index.py b/python/analytics/index.py index 88b9d29c..da030683 100644 --- a/python/analytics/index.py +++ b/python/analytics/index.py @@ -433,8 +433,9 @@ class Index(object): rec = r.fetchone() index_type = rec.index recovery = 0.4 if index_type in ['IG', 'EU'] else 0.3 + strike_is_price = index_type == "HY" instance = cls(rec.trade_date, rec.maturity, recovery, rec.fixed_rate * 100, - rec.notional, recovery, rec.issue_date) + rec.notional, strike_is_price, rec.issue_date) r = _engine.execute("SELECT lastdate, indexfactor/100 AS factor, version FROM index_version " \ "WHERE index=%s and series=%s", (rec.index, rec.series)) instance._version = tuple(tuple(t) for t in r) |