diff options
Diffstat (limited to 'python/analytics')
| -rw-r--r-- | python/analytics/basket_index.py | 2 | ||||
| -rw-r--r-- | python/analytics/index_data.py | 2 |
2 files changed, 2 insertions, 2 deletions
diff --git a/python/analytics/basket_index.py b/python/analytics/basket_index.py index 0001a4e7..4d57f944 100644 --- a/python/analytics/basket_index.py +++ b/python/analytics/basket_index.py @@ -142,7 +142,7 @@ class BasketIndex(CreditIndex): def recovery_rates(self): # we don't always have the 6 months data point # so pick arbitrarily the 1 year point - return np.array([c.recovery_rates[1] for c in self.curves]) + return np.array([c.recovery_rates[0] for _, c in self.curves]) def pv(self, maturity=None, epsilon=0., coupon=None): if maturity is None: diff --git a/python/analytics/index_data.py b/python/analytics/index_data.py index 0d253f00..df96dbd3 100644 --- a/python/analytics/index_data.py +++ b/python/analytics/index_data.py @@ -166,7 +166,7 @@ def build_curve(r, tenors): defaulted=r['event_date']) except ValueError as e: print(r[0], e) - return None + return r['weight'], None return r['weight'], sc |