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Diffstat (limited to 'python/analytics/basket_index.py')
| -rw-r--r-- | python/analytics/basket_index.py | 10 |
1 files changed, 10 insertions, 0 deletions
diff --git a/python/analytics/basket_index.py b/python/analytics/basket_index.py index 407f93bd..828d3ada 100644 --- a/python/analytics/basket_index.py +++ b/python/analytics/basket_index.py @@ -102,3 +102,13 @@ class BasketIndex(CreditIndex): continue self.tweaks.append(eps) self.tweak_portfolio(eps, m) + +if __name__ == "__main__": + ig28 = BasketIndex("IG", 28, ["3yr", "5yr", "7yr", "10yr"]) + from quantlib.time.api import Schedule, Rule, Date, Period, WeekendsOnly + from quantlib.settings import Settings + settings = Settings() + + cds_schedule = Schedule.from_rule(settings.evaluation_date, Date.from_datetime(ig28.maturities[-1]), + Period('3M'), WeekendsOnly(), date_generation_rule=Rule.CDS2015) + sp = ig28.survival_matrix(cds_schedule.to_npdates().view('int') + 134774) |