diff options
Diffstat (limited to 'python/analytics/portfolio.py')
| -rw-r--r-- | python/analytics/portfolio.py | 4 |
1 files changed, 2 insertions, 2 deletions
diff --git a/python/analytics/portfolio.py b/python/analytics/portfolio.py index 809b49a2..43d9b5e7 100644 --- a/python/analytics/portfolio.py +++ b/python/analytics/portfolio.py @@ -88,11 +88,11 @@ class Portfolio: vs = BlackSwaptionVolSurface(index_type, series, tenor, index.value_date) if surface_id is None: for source in source_list: - if len(vs.list(source, option_type, model)) >=1: + if len(vs.list(source)) >=1: break else: raise ValueError("No market data available for this day") - self._vs[k] = vs[vs.list(source, option_type, model)[-1]] + self._vs[k] = vs[vs.list(source)[-1]] else: self._vs[k] = vs[surface_id] for swaption in self.swaptions: |