diff options
Diffstat (limited to 'python')
| -rw-r--r-- | python/cds_curve.py | 2 |
1 files changed, 1 insertions, 1 deletions
diff --git a/python/cds_curve.py b/python/cds_curve.py index f80ebd2b..235f8fa0 100644 --- a/python/cds_curve.py +++ b/python/cds_curve.py @@ -36,7 +36,7 @@ def calibrate_portfolio(index_type, series, tenors=['3yr', '5yr', '7yr', '10yr'] if start_date: index.index_quotes = index.index_quotes[start_date:] for trade_date in index.index_quotes.index.get_level_values(0): - index.trade_date = trade_date + index.value_date = trade_date index.tweak() r[trade_date] = pd.DataFrame({'duration': index.duration(), 'theta': index.theta(), |