diff options
Diffstat (limited to 'python/analytics')
| -rw-r--r-- | python/analytics/curve_trades.py | 4 |
1 files changed, 2 insertions, 2 deletions
diff --git a/python/analytics/curve_trades.py b/python/analytics/curve_trades.py index b1b09c74..73afaa0f 100644 --- a/python/analytics/curve_trades.py +++ b/python/analytics/curve_trades.py @@ -187,9 +187,9 @@ def forward_loss(index="IG"): df["fwd_loss_rate"] = df.indexel.diff(2) / df.duration.diff(2) -def curve_model(tenor_1="5yr", tenor_2="10yr"): +def curve_model(tenor_1="5yr", tenor_2="10yr", index="IG"): # OLS model - df = ratio_within_series(param="close_spread") + df = ratio_within_series(index, param="close_spread") df = pd.concat( [ df.duration[tenor_1], |