diff options
Diffstat (limited to 'python/index_data.py')
| -rw-r--r-- | python/index_data.py | 4 |
1 files changed, 2 insertions, 2 deletions
diff --git a/python/index_data.py b/python/index_data.py index e6b7bf99..2a9ae485 100644 --- a/python/index_data.py +++ b/python/index_data.py @@ -95,11 +95,11 @@ def index_returns(df=None, index=None, series=None, tenor=None, date=None, years if df is None: df = get_index_quotes(index, series, tenor, date, years) df = (df. - groupby(level=['index', 'series', 'version', 'tenor']) + groupby(level=['index', 'series', 'tenor', 'version']) [['closespread','closeprice']]. pct_change()) df.columns = ['spread_return', 'price_return'] - df = df.groupby(level=['date', 'index', 'series', 'tenor']).nth(-1) + df = df.groupby(level=['date', 'index', 'series', 'tenor']).nth(0) coupon_data = pd.read_sql_query("SELECT index, series, tenor, coupon FROM " \ "index_maturity WHERE coupon is NOT NULL", serenitasdb, index_col=['index', 'series', 'tenor']) |