diff options
Diffstat (limited to 'python/analytics/portfolio.py')
| -rw-r--r-- | python/analytics/portfolio.py | 8 |
1 files changed, 3 insertions, 5 deletions
diff --git a/python/analytics/portfolio.py b/python/analytics/portfolio.py index 1e803c1f..50b43477 100644 --- a/python/analytics/portfolio.py +++ b/python/analytics/portfolio.py @@ -98,11 +98,9 @@ class Portfolio: else: self._vs[k] = vs[surface_id] for swaption in self.swaptions: - vol_surface = self._vs[(swaption.index.trade_date, ) + \ - _key_from_index(swaption.index)] - swaption.sigma = float(self._vs[(swaption.index.trade_date, ) \ - + _key_from_index(swaption.index)]. - ev(swaption.T, swaption.moneyness)) + ind = swaption.index + vol_surface = self._vs[(ind.trade_date, ind.index_type, ind.series, ind.tenor)] + swaption.sigma = float(vol_surface.ev(swaption.T, swaption.moneyness)) @property def ref(self): |