diff options
| -rw-r--r-- | python/analytics/tranche_basket.py | 9 |
1 files changed, 7 insertions, 2 deletions
diff --git a/python/analytics/tranche_basket.py b/python/analytics/tranche_basket.py index 8235a153..e331f125 100644 --- a/python/analytics/tranche_basket.py +++ b/python/analytics/tranche_basket.py @@ -10,7 +10,7 @@ from .db import dawn_engine, serenitas_engine, serenitas_pool from copy import deepcopy from dateutil.relativedelta import relativedelta from lru import LRU -from pyisda.date import cds_accrued +from pyisda.date import cds_accrued, next_twentieth from scipy.optimize import brentq from scipy.interpolate import CubicSpline, PchipInterpolator from scipy.special import logit, expit @@ -272,7 +272,12 @@ class DualCorrTranche(): @property def pv(self): pl, cl = self._pv() - return -self.notional * self.tranche_factor * (pl + cl) + _pv = -self.notional * self.tranche_factor * (pl + cl) + if self.index_type == "BS": + if self.value_date < next_twentieth(self._trade_date): + stub = cds_accrued(self._trade_date, self.tranche_running * 1e-4) * self.notional + _pv -= stub + return _pv @property def clean_pv(self): |