diff options
| -rw-r--r-- | python/analytics/tranche_functions.py | 2 | ||||
| -rw-r--r-- | python/tests/test_dates.py | 4 |
2 files changed, 6 insertions, 0 deletions
diff --git a/python/analytics/tranche_functions.py b/python/analytics/tranche_functions.py index 3355a887..b72d4bba 100644 --- a/python/analytics/tranche_functions.py +++ b/python/analytics/tranche_functions.py @@ -455,6 +455,8 @@ def credit_schedule(tradedate, coupon, yc, enddate=None, tenor=None, rule=CDS201 sched = Schedule.from_rule( tradedate, enddate, Period("3M"), cal, ModifiedFollowing, Unadjusted, rule ) + if sched[1] == start_date: # we need to skip one date + sched = sched.after(start_date) payment_dates = [pydate_from_qldate(cal.adjust(d)) for d in sched if d > start_date] df = [yc.discount_factor(d) for d in payment_dates] coupons = [ diff --git a/python/tests/test_dates.py b/python/tests/test_dates.py index 054a0ee1..1437bba4 100644 --- a/python/tests/test_dates.py +++ b/python/tests/test_dates.py @@ -183,6 +183,10 @@ class TestCdsSchedule(unittest.TestCase): """ tests when IMM date falls on a week-end""" df = credit_schedule(self.trade_date, 1.0, self.yc, datetime.date(2022, 12, 20)) self.assertEqual(df.index[0], pd.Timestamp("2020-06-22")) + df = credit_schedule( + datetime.date(2020, 3, 19), 1.0, self.yc, datetime.date(2022, 12, 20) + ) + self.assertEqual(df.index[0], pd.Timestamp("2020-06-22")) if __name__ == "__main__": |