diff options
Diffstat (limited to 'python/analytics')
| -rw-r--r-- | python/analytics/option.py | 4 |
1 files changed, 4 insertions, 0 deletions
diff --git a/python/analytics/option.py b/python/analytics/option.py index 6551b46c..2a10187d 100644 --- a/python/analytics/option.py +++ b/python/analytics/option.py @@ -759,6 +759,10 @@ def _calibrate_model( elif interp_method == "bivariate_linear": h = [] for data in r: + # skip if there is not enough data + if data.shape[0] < 2: + T.pop(0) + continue vol = data[:, 0] non_nan = ~np.isnan(vol) vol = vol[non_nan] |