diff options
| -rw-r--r-- | python/analytics/basket_index.py | 9 | ||||
| -rw-r--r-- | python/analytics/utils.py | 7 | ||||
| -rw-r--r-- | python/tests/test_tranche_basket.py | 9 |
3 files changed, 23 insertions, 2 deletions
diff --git a/python/analytics/basket_index.py b/python/analytics/basket_index.py index a7d70d60..3b2122c5 100644 --- a/python/analytics/basket_index.py +++ b/python/analytics/basket_index.py @@ -1,6 +1,6 @@ from .index_data import get_index_quotes, get_singlenames_curves_prebuilt from . import serenitas_pool -from .utils import get_fx +from .utils import get_fx, adjust_next_business_day from functools import partial from pyisda.cdsone import upfront_charge, spread_from_upfront from pyisda.credit_index import CreditIndex @@ -122,7 +122,12 @@ class BasketIndex(CreditIndex): "_ignore_hash", ] ) - super().__init__(self.issue_date, maturities, curves, value_date=value_date) + super().__init__( + adjust_next_business_day(self.issue_date), + maturities, + curves, + value_date=value_date, + ) self._cache[k] = self def __reduce__(self): diff --git a/python/analytics/utils.py b/python/analytics/utils.py index 0e014cff..c8e5901b 100644 --- a/python/analytics/utils.py +++ b/python/analytics/utils.py @@ -89,6 +89,13 @@ def adjust_prev_business_day(d: datetime.date): return d +def adjust_next_business_day(d: datetime.date): + if (offset := 7 - d.weekday()) >= 3: + return d + else: + return d + datetime.timedelta(days=offset) + + def next_business_day(d: datetime.date): if (offset := 7 - d.weekday()) > 3: return d + datetime.timedelta(days=1) diff --git a/python/tests/test_tranche_basket.py b/python/tests/test_tranche_basket.py index a7506955..34be0af2 100644 --- a/python/tests/test_tranche_basket.py +++ b/python/tests/test_tranche_basket.py @@ -20,6 +20,15 @@ class TestTopDown(unittest.TestCase): eu30 = TrancheBasket("EU", 30, "5yr", value_date=datetime.date(2019, 8, 15)) market_quotes = eu30._accrued + eu30.tranche_quotes.quotes + def test_invariant(self): + hy35 = TrancheBasket("HY", 35, "5yr", value_date=datetime.date(2020, 10, 5)) + hy35.tweak() + hy35.build_skew() + self.assertAlmostEqual( + hy35.index_pv(clean=True).bond_price, + (hy35.tranche_pvs().bond_price * np.diff(hy35.K)).sum(), + ) + def test_bottomup(self): self.eu30.build_skew() upfronts = 1 - self.eu30.tranche_pvs().bond_price |