diff options
Diffstat (limited to 'python/analytics')
| -rw-r--r-- | python/analytics/index.py | 3 |
1 files changed, 3 insertions, 0 deletions
diff --git a/python/analytics/index.py b/python/analytics/index.py index 3d929cd0..8137f63f 100644 --- a/python/analytics/index.py +++ b/python/analytics/index.py @@ -236,6 +236,9 @@ class Index(object): # self._yc = ql_to_jp(self._ql_yc) ql_yc = YC(currency = self.currency) self._yc = ql_to_jp(ql_yc) + # use the rolled forward curve if we price something in the future + if self._yc.base_date < d: + self._yc = self._yc.expected_forward_curve(d) self._trade_date = d self._step_in_date = self.trade_date + datetime.timedelta(days=1) self._accrued = self._fee_leg.accrued(self._step_in_date) |