diff options
Diffstat (limited to 'python/analytics')
| -rw-r--r-- | python/analytics/basket_index.py | 3 |
1 files changed, 2 insertions, 1 deletions
diff --git a/python/analytics/basket_index.py b/python/analytics/basket_index.py index 5ad27574..6f72731a 100644 --- a/python/analytics/basket_index.py +++ b/python/analytics/basket_index.py @@ -322,7 +322,7 @@ class BasketIndex(CreditIndex): self.tweaks = [] for m in self.maturities: - if m not in quotes: + if np.isnan(quotes.get(m, np.nan)): self.tweaks.append(np.nan) continue else: @@ -401,6 +401,7 @@ class MarkitBasketIndex(BasketIndex): )[["close_price", "id"]] .groupby(level=["date", "tenor"], as_index=True) .nth(0) + .dropna() ) self.index_quotes.close_price = 1 - self.index_quotes.close_price / 100 |