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 e7ee6cbb..4eebaa50 100644 --- a/python/thetas-durations.py +++ b/python/thetas-durations.py @@ -53,8 +53,8 @@ for index in ["IG", "HY", "EU", "XO"]: recoveries = np.full(len(tenors[index]), 0.3) else: recoveries = np.full(len(tenors[index]), 0.4) - for series in range(18, 31): - if index in ["EU", "XO"] and series == 30: + for series in range(18, 32): + if index in ["EU", "XO"] and series == 31: continue fee_legs, contingent_legs, df = \ get_legs(index, series, tenors[index]) |