diff options
Diffstat (limited to 'python/analytics')
| -rw-r--r-- | python/analytics/portfolio.py | 6 |
1 files changed, 3 insertions, 3 deletions
diff --git a/python/analytics/portfolio.py b/python/analytics/portfolio.py index 0f57c674..2c83b8f0 100644 --- a/python/analytics/portfolio.py +++ b/python/analytics/portfolio.py @@ -84,10 +84,10 @@ class Portfolio: index.mark() if tenor != '5yr': continue - k = (index.trade_date, index_type, series, tenor) + k = (index.value_date, index_type, series, tenor) if self.swaptions: if k not in self._vs: - vs = BlackSwaptionVolSurface(index_type, series, tenor, index.trade_date) + vs = BlackSwaptionVolSurface(index_type, series, tenor, index.value_date) if surface_id is None: for source in source_list: if len(vs.list(source, option_type, model)) >=1: @@ -99,7 +99,7 @@ class Portfolio: self._vs[k] = vs[surface_id] for swaption in self.swaptions: ind = swaption.index - vol_surface = self._vs[(ind.trade_date, ind.index_type, ind.series, ind.tenor)] + vol_surface = self._vs[(ind.value_date, ind.index_type, ind.series, ind.tenor)] swaption.sigma = float(vol_surface.ev(swaption.T, swaption.moneyness)) @property |