diff options
| -rw-r--r-- | python/analytics/index.py | 10 | ||||
| -rw-r--r-- | python/analytics/portfolio.py | 8 |
2 files changed, 10 insertions, 8 deletions
diff --git a/python/analytics/index.py b/python/analytics/index.py index 2b77862c..88b9d29c 100644 --- a/python/analytics/index.py +++ b/python/analytics/index.py @@ -399,7 +399,7 @@ class Index(object): print(e) return None else: - recovery = 0.4 if index_type == "IG" else 0.3 + recovery = 0.4 if index_type in ['IG', 'EU'] else 0.3 instance = cls(trade_date, maturity, recovery, coupon, notional, index_type == "HY", df.issue_date[0]) instance._version = tuple((ld.date(), factor / 100, version) for ld, factor, version in \ @@ -431,9 +431,10 @@ class Index(object): ON security_id = redindexcode AND cds.maturity = index_desc.maturity WHERE id=%s""", (trade_id,)) rec = r.fetchone() - recovery = 0.4 if "IG" in rec.security_desc else 0.3 + index_type = rec.index + recovery = 0.4 if index_type in ['IG', 'EU'] else 0.3 instance = cls(rec.trade_date, rec.maturity, recovery, rec.fixed_rate * 100, - rec.notional, recovery==0.3, rec.issue_date) + rec.notional, recovery, rec.issue_date) r = _engine.execute("SELECT lastdate, indexfactor/100 AS factor, version FROM index_version " \ "WHERE index=%s and series=%s", (rec.index, rec.series)) instance._version = tuple(tuple(t) for t in r) @@ -445,6 +446,9 @@ class Index(object): instance.pv = rec.upfront instance._original_clean_pv = instance._clean_pv instance._original_trade_date = rec.trade_date + instance.index_type = index_type + instance.series = rec.series + instance.tenor = rec.tenor return instance def __repr__(self): diff --git a/python/analytics/portfolio.py b/python/analytics/portfolio.py index 1e803c1f..50b43477 100644 --- a/python/analytics/portfolio.py +++ b/python/analytics/portfolio.py @@ -98,11 +98,9 @@ class Portfolio: else: self._vs[k] = vs[surface_id] for swaption in self.swaptions: - vol_surface = self._vs[(swaption.index.trade_date, ) + \ - _key_from_index(swaption.index)] - swaption.sigma = float(self._vs[(swaption.index.trade_date, ) \ - + _key_from_index(swaption.index)]. - ev(swaption.T, swaption.moneyness)) + ind = swaption.index + vol_surface = self._vs[(ind.trade_date, ind.index_type, ind.series, ind.tenor)] + swaption.sigma = float(vol_surface.ev(swaption.T, swaption.moneyness)) @property def ref(self): |