diff options
Diffstat (limited to 'python/risk')
| -rw-r--r-- | python/risk/portfolio.py | 4 |
1 files changed, 2 insertions, 2 deletions
diff --git a/python/risk/portfolio.py b/python/risk/portfolio.py index b4311e86..8598f3ae 100644 --- a/python/risk/portfolio.py +++ b/python/risk/portfolio.py @@ -76,7 +76,7 @@ def build_portfolio(position_date, value_date=None, fund="SERCGMAST"): return portf, syn_portf -def generate_vol_surface(portf, try_days_back=5): +def generate_vol_surface(portf, try_days_back=5, source="MS"): vol_surface = {} for trade in portf.swaptions: @@ -96,6 +96,6 @@ def generate_vol_surface(portf, try_days_back=5): ) vol_surface[ (trade.index.index_type, trade.index.series, trade.option_type) - ] = vs[vs.list(source="MS", option_type=trade.option_type)[-1]] + ] = vs[vs.list(source=source, option_type=trade.option_type)[-1]] return vol_surface |