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Diffstat (limited to 'python/analytics')
| -rw-r--r-- | python/analytics/option.py | 2 |
1 files changed, 2 insertions, 0 deletions
diff --git a/python/analytics/option.py b/python/analytics/option.py index e5f530bf..b7ffc518 100644 --- a/python/analytics/option.py +++ b/python/analytics/option.py @@ -428,6 +428,8 @@ class VolatilitySurface(ForwardIndex): engine, parse_dates = ['quotedate', 'expiry'], params=(trade_date, index_type.upper(), series)) + self._quotes.loc[(df.quote_source == "GS") & (df['index'] =="HY"), + ["pay_bid", "pay_offer", "rec_bid", "rec_offer"]] *=100 if self._quotes.empty: raise ValueError("No quotes for that day") self._quotes['quotedate'] = (self._quotes['quotedate']. |