diff options
Diffstat (limited to 'python/option_trades.py')
| -rw-r--r-- | python/option_trades.py | 3 |
1 files changed, 2 insertions, 1 deletions
diff --git a/python/option_trades.py b/python/option_trades.py index f0282a85..3010b5c4 100644 --- a/python/option_trades.py +++ b/python/option_trades.py @@ -137,7 +137,8 @@ def index_rolling_returns(date=None, years=3, index="IG", tenor="5yr"): df = pd.read_sql_query(sql_str, serenitasdb, parse_dates=['date'], index_col=['date', 'series'], params=(index.upper(), date, tenor)) df.sort_index(inplace=True) - return df + df = df.groupby(level='series').pct_change() + return df.groupby(level='date').last() def get_index_spread(index, series, date, conn): with conn.cursor() as c: |