diff options
Diffstat (limited to 'python/calibrate_swaption.py')
| -rw-r--r-- | python/calibrate_swaption.py | 3 |
1 files changed, 2 insertions, 1 deletions
diff --git a/python/calibrate_swaption.py b/python/calibrate_swaption.py index aa11dd70..fbe10bfe 100644 --- a/python/calibrate_swaption.py +++ b/python/calibrate_swaption.py @@ -106,9 +106,10 @@ def calibrate(index_type=None, series=None, date=None, nproc=4, latest=False): pstarmap = pool.starmap if pool else starmap for k, v in data.groupby([data["quotedate"].dt.date, "index", "series"]): trade_date, index_type, series = k + series = int(series) logger.debug(f"{trade_date} {index_type}{series}") index = CreditIndex(index_type, series, "5yr", value_date=trade_date) - for expiry, df in v.groupby(["expiry"]): + for expiry, df in v.groupby("expiry"): logger.debug(expiry) try: option = Swaption(index, expiry.date(), 100) |