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Diffstat (limited to 'python/thetas-durations.py')
| -rw-r--r-- | python/thetas-durations.py | 3 |
1 files changed, 1 insertions, 2 deletions
diff --git a/python/thetas-durations.py b/python/thetas-durations.py index 18e89bb3..698c9f5b 100644 --- a/python/thetas-durations.py +++ b/python/thetas-durations.py @@ -90,8 +90,7 @@ if __name__ == "__main__": yc = get_curve( value_date, "USD" if index in ["IG", "HY"] else "EUR" ) - # right_index?? is it a bug? - data = data.merge(df, on="tenor", right_index=True) + data = data.reset_index().merge(df, left_on="tenor").set_index("id") step_in_date = value_date + datetime.timedelta(days=1) cash_settle_date = value_date + 3 * BDay() start_date = previous_twentieth(value_date) |