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Diffstat (limited to 'python/tests/test_yieldcurve.py')
| -rw-r--r-- | python/tests/test_yieldcurve.py | 5 |
1 files changed, 3 insertions, 2 deletions
diff --git a/python/tests/test_yieldcurve.py b/python/tests/test_yieldcurve.py index 5bf708e2..0a84ead8 100644 --- a/python/tests/test_yieldcurve.py +++ b/python/tests/test_yieldcurve.py @@ -24,8 +24,9 @@ class TestYieldCurve(unittest.TestCase): settings.evaluation_date = Date(23, 6, 2016) curve = YC() term_date = Date(20, 6, 2021) - cds_schedule = Schedule(settings.evaluation_date, term_date, Period(Quarterly), - WeekendsOnly(), Following, Unadjusted, CDS) + cds_schedule = Schedule.from_effective_termination( + settings.evaluation_date, term_date, Period(Quarterly), + WeekendsOnly(), Following, Unadjusted, CDS) curve_df = [curve.discount(d) for d in cds_schedule[1:-1]] #last date is term_date+1 curve_df.append(curve.discount(term_date+1)) |