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Diffstat (limited to 'python/risk/indices.py')
| -rw-r--r-- | python/risk/indices.py | 5 |
1 files changed, 4 insertions, 1 deletions
diff --git a/python/risk/indices.py b/python/risk/indices.py index 022eb6b3..cdbd1be7 100644 --- a/python/risk/indices.py +++ b/python/risk/indices.py @@ -76,7 +76,10 @@ def get_index_portfolio( def VaR(portf: Portfolio, quantile=0.05, years: int = 5, period="monthly"): index_types = tuple(set(t.index_type for t in portf)) returns = hist_spreads( - portf.value_date, index_types, ["3yr", "5yr", "7yr", "10yr"], years + end_date=portf.value_date, + index_types=index_types, + tenors=["3yr", "5yr", "7yr", "10yr"], + lookback=years, ) portf.reset_pv() |