diff options
| -rw-r--r-- | python/analytics/credit_default_swap.py | 7 |
1 files changed, 7 insertions, 0 deletions
diff --git a/python/analytics/credit_default_swap.py b/python/analytics/credit_default_swap.py index 932e90ed..6a53189a 100644 --- a/python/analytics/credit_default_swap.py +++ b/python/analytics/credit_default_swap.py @@ -233,6 +233,13 @@ class CreditDefaultSwap: def price(self): return self._price + @property + def local_price(self): + if self.currency == "USD": + return self._price + else: + return 100 + (self.price - 100) / get_fx(self.currency, self.value_date) + @price.setter def price(self, val): if self._price is None or math.fabs(val - self._price) > 1e-6: |