diff options
| -rw-r--r-- | python/analytics/tranche_basket.py | 28 |
1 files changed, 14 insertions, 14 deletions
diff --git a/python/analytics/tranche_basket.py b/python/analytics/tranche_basket.py index 9554fbe0..0e431173 100644 --- a/python/analytics/tranche_basket.py +++ b/python/analytics/tranche_basket.py @@ -965,6 +965,16 @@ class TrancheBasket(BasketIndex): ) return pd.DataFrame(1 - sm, index=tickers, columns=self.cs.index) + def _default_prob(self, shortened): + if shortened == 0: + cs = self.cs + else: + cs = self.cs[:-shortened] + sm, _ = super().survival_matrix( + cs.index.values.astype("M8[D]").view("int") + 134774 + ) + return cs, 1 - sm + def tranche_legs(self, K, rho, complement=False, shortened=0, zero_recovery=False): if (K == 0.0 and not complement) or (K == 1.0 and complement): return 0.0, 0.0 @@ -973,12 +983,7 @@ class TrancheBasket(BasketIndex): elif np.isnan(rho): raise ValueError("rho needs to be a real number between 0. and 1.") else: - if shortened > 0: - default_prob = self.default_prob.values[:, :-shortened] - cs = self.cs[:-shortened] - else: - default_prob = self.default_prob.values - cs = self.cs + cs, default_prob = self._default_prob(shortened) if zero_recovery: recovery_rates = np.zeros(self.weights.size) else: @@ -1067,14 +1072,9 @@ class TrancheBasket(BasketIndex): return self._Legs(cl, pl, bp) def index_pv(self, discounted=True, shortened=0, zero_recovery=False): - if shortened > 0: - DP = self.default_prob.values[:, -shortened] - df = self.cs.df.values[:-shortened] - coupons = self.cs.coupons.values[:-shortened] - else: - DP = self.default_prob.values - df = self.cs.df.values - coupons = self.cs.coupons + cs, DP = self._default_prob(shortened) + df = cs.df.values + coupons = cs.coupons.values if zero_recovery: ELvec = self.weights @ DP else: |