diff options
Diffstat (limited to 'python/analytics/scenarios.py')
| -rw-r--r-- | python/analytics/scenarios.py | 6 |
1 files changed, 3 insertions, 3 deletions
diff --git a/python/analytics/scenarios.py b/python/analytics/scenarios.py index 65f77563..52aadcfd 100644 --- a/python/analytics/scenarios.py +++ b/python/analytics/scenarios.py @@ -28,7 +28,7 @@ def run_swaption_scenarios(swaption, date_range, spread_shock, vol_shock, r = [] for date in date_range: - swaption.index.trade_date = date.date() + swaption.index.value_date = date.date() if vol_time_roll: T = swaption.T for s in spreads: swaption.ref = s @@ -46,7 +46,7 @@ def run_index_scenarios(index, date_range, spread_shock, params=['pnl']): r = [] for date in date_range: - index.trade_date = date.date() + index.value_date = date.date() for s in spreads: index.spread = s r.append([date, s] + [getattr(index, p) for p in params]) @@ -86,7 +86,7 @@ def run_portfolio_scenarios(portf, date_range, spread_shock, vol_shock, with MaybePool(nproc) as pool: pmap = pool.map if pool else map for date in date_range: - portf.trade_date = date.date() + portf.value_date = date.date() if vol_time_roll: t = [swaption.T for swaption in portf.swaptions] for s in spreads: |