diff options
Diffstat (limited to 'python/analytics/index_data.py')
| -rw-r--r-- | python/analytics/index_data.py | 4 |
1 files changed, 2 insertions, 2 deletions
diff --git a/python/analytics/index_data.py b/python/analytics/index_data.py index 784b16d4..687481cd 100644 --- a/python/analytics/index_data.py +++ b/python/analytics/index_data.py @@ -119,8 +119,8 @@ def index_returns(df=None, index=None, series=None, tenor=None, from_date=None, df = df.reset_index('date').join(coupon_data).reset_index('tenor') df.tenor = df.tenor.astype(tenor_t) df = df.set_index(['tenor'], append=True) - df['day_frac'] = (df.groupby(level=['index', 'series', 'tenor'])['date']. - diff(). + df['day_frac'] = (df.groupby(level=['index', 'series', 'tenor']).diff(). + date. astype('timedelta64[D]') / 360) df['price_return'] += df.day_frac * df.coupon df = df.drop(['day_frac', 'coupon', 'maturity'], axis=1) |