diff options
Diffstat (limited to 'python')
| -rw-r--r-- | python/analytics/basket_index.py | 7 |
1 files changed, 5 insertions, 2 deletions
diff --git a/python/analytics/basket_index.py b/python/analytics/basket_index.py index 78bacba0..c84748f2 100644 --- a/python/analytics/basket_index.py +++ b/python/analytics/basket_index.py @@ -59,7 +59,10 @@ class BasketIndex(CreditIndex): maturities = self.index_desc.maturity.dt.to_pydatetime() self.index_desc = self.index_desc.reset_index().set_index('maturity') self.index_desc.tenor = self.index_desc.tenor.astype(tenor_t) - curves = get_singlenames_curves(index_type, series, value_date) + max_tenor = int(tenors[-1][:-2]) + self._curve_tenors = tuple([t for t in (0.5, 1, 2, 3, 4, 5, 7, 10) if t <= max_tenor]) + curves = get_singlenames_curves(index_type, series, value_date, self._curve_tenors) + self.currency = "EUR" if index_type in ["XO", "EU"] else "USD" self.yc = get_curve(value_date, self.currency) self.step_in_date = value_date + Day() @@ -112,7 +115,7 @@ class BasketIndex(CreditIndex): @value_date.setter def value_date(self, d: pd.Timestamp): - self.curves = get_singlenames_curves(self.index_type, self.series, d) + self.curves = get_singlenames_curves(self.index_type, self.series, d, self._curve_tenors) self.yc = get_curve(d, self.currency) self.step_in_date = d + Day() self.cash_settle_date = d + 3 * BDay() |