diff options
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 3205e150..07022af6 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, 38): - if index in ["EU", "XO"] and series == 37: + for series in range(18, 39): + if index in ["EU", "XO"] and series == 38: continue fee_legs, contingent_legs, df = get_legs(index, series, tenors[index]) |