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Diffstat (limited to 'python/yieldcurve.py')
| -rw-r--r-- | python/yieldcurve.py | 3 |
1 files changed, 1 insertions, 2 deletions
diff --git a/python/yieldcurve.py b/python/yieldcurve.py index 8c5431e3..c8d6ed01 100644 --- a/python/yieldcurve.py +++ b/python/yieldcurve.py @@ -100,8 +100,7 @@ def get_dates(date, currency="USD"): def roll_yc(yc, forward_date): """returns the expected forward yield cuve on a forward_date""" dates = get_dates(forward_date) - df0 = yc.discount_factor(forward_date) - dfs = array.array('d', [yc.discount_factor(d)/df0 for d in dates]) + dfs = array.array('d', [yc.discount_factor(d, forward_date) for d in dates]) return YieldCurve.from_discount_factors(forward_date, dates, array.array('d', dfs), 'ACT/365F') def YC(helpers = None, currency="USD", MarkitData=None): |