diff options
Diffstat (limited to 'python/analytics/portfolio.py')
| -rw-r--r-- | python/analytics/portfolio.py | 6 |
1 files changed, 3 insertions, 3 deletions
diff --git a/python/analytics/portfolio.py b/python/analytics/portfolio.py index 004288f2..3b9e1a9a 100644 --- a/python/analytics/portfolio.py +++ b/python/analytics/portfolio.py @@ -1,4 +1,4 @@ -from .index import Index +from .index import CreditIndex from .option import BlackSwaption from warnings import warn import pandas as pd @@ -36,7 +36,7 @@ class Portfolio: def __init__(self, trades, trade_ids=None): self.trades = trades self.trade_ids = trade_ids - self.indices = [t for t in trades if isinstance(t, Index)] + self.indices = [t for t in trades if isinstance(t, CreditIndex)] self.swaptions = [t for t in trades if isinstance(t, BlackSwaption)] value_dates = set(t.value_date for t in self.trades) self._keys = set([(index.index_type, index.series, index.tenor) for index in self.indices]) @@ -158,7 +158,7 @@ class Portfolio: "Vega"] rec = [] for t in self.trades: - if isinstance(t, Index): + if isinstance(t, CreditIndex): name = f"{t.index_type}{t.series} {t.tenor}" r = ("Index", name, t.notional, t.ref, "N/A", t.direction, "N/A", "N/A", None, t.pv, 1., 0., t.theta, 0.) |