diff options
Diffstat (limited to 'python/cds_curve.py')
| -rw-r--r-- | python/cds_curve.py | 4 |
1 files changed, 2 insertions, 2 deletions
diff --git a/python/cds_curve.py b/python/cds_curve.py index b7dadbf7..301d053f 100644 --- a/python/cds_curve.py +++ b/python/cds_curve.py @@ -1,5 +1,5 @@ from pyisda.credit_index import CreditIndex -from analytics.basket_index import BasketIndex +from analytics.basket_index import MarkitBasketIndex from pyisda.legs import FeeLeg, ContingentLeg from pyisda.logging import enable_logging @@ -32,7 +32,7 @@ def all_curves_pv(curves, today_date, jp_yc, start_date, step_in_date, value_dat def calibrate_portfolio(index_type, series, tenors=['3yr', '5yr', '7yr', '10yr'], start_date=None): - index = BasketIndex(index_type, series, tenors) + index = MarkitBasketIndex(index_type, series, tenors) r = {} if start_date: index.index_quotes = index.index_quotes[start_date:] |