diff options
Diffstat (limited to 'python')
| -rw-r--r-- | python/analytics/basket_index.py | 5 | ||||
| -rw-r--r-- | python/cds_curve.py | 5 |
2 files changed, 5 insertions, 5 deletions
diff --git a/python/analytics/basket_index.py b/python/analytics/basket_index.py index bbdec164..84286843 100644 --- a/python/analytics/basket_index.py +++ b/python/analytics/basket_index.py @@ -404,14 +404,13 @@ class MarkitBasketIndex(BasketIndex): get_index_quotes( index_type, series, tenors, years=None, remove_holidays=False )[["close_price", "id"]] - .groupby(level=["date", "tenor"], as_index=True) - .nth(0) + .reset_index(level=["index", "series"], drop=True) .dropna() ) self.index_quotes.close_price = 1 - self.index_quotes.close_price / 100 def _get_quotes(self): - quotes = self.index_quotes.loc[self.value_date, "close_price"] + quotes = self.index_quotes.loc[(self.value_date, self.version), "close_price"] return {self.tenors[t]: q for t, q in quotes.items()} diff --git a/python/cds_curve.py b/python/cds_curve.py index 1d2e244a..03e488e2 100644 --- a/python/cds_curve.py +++ b/python/cds_curve.py @@ -63,8 +63,9 @@ def calibrate_portfolio( ], axis=1, ) - for (_, t), id in v.items(): - yield (id, df.loc[t]) + for (_, version, t), id in v.items(): + if version == index.version: + yield (id, df.loc[t]) if __name__ == "__main__": |