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Diffstat (limited to 'python/thetas-durations.py')
| -rw-r--r-- | python/thetas-durations.py | 4 |
1 files changed, 2 insertions, 2 deletions
diff --git a/python/thetas-durations.py b/python/thetas-durations.py index 839f6a2e..c6ba62c9 100644 --- a/python/thetas-durations.py +++ b/python/thetas-durations.py @@ -63,8 +63,8 @@ if __name__ == "__main__": recoveries = np.full(len(tenors[index]), 0.3) else: recoveries = np.full(len(tenors[index]), 0.4) - for series in range(18, 40): - if index in ["EU", "XO"] and series == 39: + for series in range(18, 41): + if index in ["EU", "XO"] and series == 40: continue fee_legs, contingent_legs, df = get_legs(index, series, tenors[index]) |