diff options
Diffstat (limited to 'python/calibrate_swaption.py')
| -rw-r--r-- | python/calibrate_swaption.py | 2 |
1 files changed, 1 insertions, 1 deletions
diff --git a/python/calibrate_swaption.py b/python/calibrate_swaption.py index 27bd9d24..aa11dd70 100644 --- a/python/calibrate_swaption.py +++ b/python/calibrate_swaption.py @@ -107,7 +107,7 @@ def calibrate(index_type=None, series=None, date=None, nproc=4, latest=False): for k, v in data.groupby([data["quotedate"].dt.date, "index", "series"]): trade_date, index_type, series = k logger.debug(f"{trade_date} {index_type}{series}") - index = CreditIndex(index_type, series, "5yr", trade_date) + index = CreditIndex(index_type, series, "5yr", value_date=trade_date) for expiry, df in v.groupby(["expiry"]): logger.debug(expiry) try: |