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 50b43477..bea0f5cd 100644 --- a/python/analytics/portfolio.py +++ b/python/analytics/portfolio.py @@ -1,5 +1,5 @@ from .index import Index -from .option import BlackSwaption, VolatilitySurface +from .option import BlackSwaption, BlackSwaptionVolSurface from db import dbengine from warnings import warn import pandas as pd @@ -87,7 +87,7 @@ class Portfolio: k = (index.trade_date, index_type, series, tenor) if self.swaptions: if k not in self._vs: - vs = VolatilitySurface(index_type, series, tenor, index.trade_date) + vs = BlackSwaptionVolSurface(index_type, series, tenor, index.trade_date) if surface_id is None: for source in source_list: if len(vs.list(source, option_type, model)) >=1: |