diff options
Diffstat (limited to 'python')
| -rw-r--r-- | python/analytics/basket_index.py | 2 | ||||
| -rw-r--r-- | python/index_data.py | 3 |
2 files changed, 3 insertions, 2 deletions
diff --git a/python/analytics/basket_index.py b/python/analytics/basket_index.py index 828d3ada..120ee4d0 100644 --- a/python/analytics/basket_index.py +++ b/python/analytics/basket_index.py @@ -18,7 +18,7 @@ class BasketIndex(CreditIndex): trade_date: pd.Timestamp = pd.Timestamp.today().normalize()): self.index_type = index_type self.series = series - if index_type == 'IG': + if index_type == 'IG' or index_type == 'EU': self.recovery = 0.4 else: self.recovery = 0.3 diff --git a/python/index_data.py b/python/index_data.py index 62cffeb2..21e202b6 100644 --- a/python/index_data.py +++ b/python/index_data.py @@ -162,7 +162,8 @@ def get_singlenames_curves(index_type, series, trade_date): end_dates = roll_date(trade_date, [1, 2, 3, 4, 5, 7, 10], nd_array=True) sn_quotes = get_singlenames_quotes("{}{}".format(index_type.lower(), series), trade_date.date()) - jp_yc = get_curve(trade_date) + currency = "EUR" if index_type in ["XO", "EU"] else "USD" + jp_yc = get_curve(trade_date, currency) start_date = previous_twentieth(trade_date) step_in_date = trade_date + datetime.timedelta(days=1) value_date = pd.Timestamp(trade_date) + 3* BDay() |