diff options
Diffstat (limited to 'python/analytics')
| -rw-r--r-- | python/analytics/basket_index.py | 4 |
1 files changed, 3 insertions, 1 deletions
diff --git a/python/analytics/basket_index.py b/python/analytics/basket_index.py index f6c2938f..cf40dda9 100644 --- a/python/analytics/basket_index.py +++ b/python/analytics/basket_index.py @@ -427,7 +427,9 @@ class MarkitBasketIndex(BasketIndex): self.index_quotes.close_price = 1 - self.index_quotes.close_price / 100 def _get_quotes(self): - quotes = self.index_quotes.loc[(self.value_date, self.version), "close_price"] + quotes = self.index_quotes.loc[ + (pd.Timestamp(self.value_date), self.version), "close_price" + ] return {self.tenors[t]: q for t, q in quotes.items()} |