diff options
Diffstat (limited to 'python/analytics/option.py')
| -rw-r--r-- | python/analytics/option.py | 4 |
1 files changed, 2 insertions, 2 deletions
diff --git a/python/analytics/option.py b/python/analytics/option.py index 314c269b..0ac6cd39 100644 --- a/python/analytics/option.py +++ b/python/analytics/option.py @@ -125,7 +125,7 @@ class BlackSwaption(ForwardIndex): break else: raise ValueError("No market data available for this day") - surface_id = vs.list(source, self.option_type)[1] + surface_id = vs.list(source, self.option_type)[-1] self.sigma = float(vs[surface_id](self.T, np.log(self.moneyness))) @property @@ -485,7 +485,7 @@ class QuoteSurface(): self._quotes.loc[(self._quotes.quote_source == "GS") & (self._quotes['index'] =="HY"), ["pay_bid", "pay_offer", "rec_bid", "rec_offer"]] *=100 if self._quotes.empty: - raise ValueError("No quotes for that day") + raise ValueError(f"No quotes for date: {value_date}") self._quotes['quotedate'] = (self._quotes['quotedate'].dt. tz_convert('America/New_York'). dt.tz_localize(None)) |