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Better handling of selected maturities, corrected the BR example, organized DI data
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3 files changed

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-4656
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example_br.ipynb

Lines changed: 37 additions & 86 deletions
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pyacm/acm.py

Lines changed: 5 additions & 1 deletion
Original file line numberDiff line numberDiff line change
@@ -145,7 +145,11 @@ def __init__(
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self.n_factors = n_factors
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self.curve = curve
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self.selected_maturities = selected_maturities
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if selected_maturities is None:
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self.selected_maturities = curve.columns
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else:
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self.selected_maturities = selected_maturities
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if curve_m is None:
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self.curve_monthly = curve.resample('M').mean()

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