diff options
Diffstat (limited to 'python/mark_swaptions.py')
| -rw-r--r-- | python/mark_swaptions.py | 2 |
1 files changed, 1 insertions, 1 deletions
diff --git a/python/mark_swaptions.py b/python/mark_swaptions.py index 6a54a124..ea7ee7d0 100644 --- a/python/mark_swaptions.py +++ b/python/mark_swaptions.py @@ -28,7 +28,7 @@ def get_swaption_portfolio(date, conn): portf.value_date = date for t in portf.trades: try: - t.mark(interp_method='bivariate_spline') + t.mark(interp_method='bivariate_linear') except Exception as e: logging.info(e) t.mark(interp_method='bivariate_linear') |