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Diffstat (limited to 'python/analytics/basket_index.py')
| -rw-r--r-- | python/analytics/basket_index.py | 6 |
1 files changed, 6 insertions, 0 deletions
diff --git a/python/analytics/basket_index.py b/python/analytics/basket_index.py index 4dd02e8f..3dfcbb9e 100644 --- a/python/analytics/basket_index.py +++ b/python/analytics/basket_index.py @@ -12,6 +12,7 @@ from math import exp import datetime from scipy.optimize import brentq from pandas.tseries.offsets import Day, BDay +from pyisda.cdsone import upfront_charge def make_index(t, d, args): instance = t.__new__(t) @@ -213,6 +214,11 @@ class BasketIndex(CreditIndex): self.tweaks.append(eps) self.tweak_portfolio(eps, m) + def _snacpv(self, spread, coupon, recov): + return upfront_charge(self.trade_date, self.value_date, self.start_date, + self.step_in_date, self.start_date, self.maturity, + coupon, self.yc, spread, recov) + class MarkitBasketIndex(BasketIndex): def __init__(self, index_type: str, series: int, tenors: List[str], *, trade_date: pd.Timestamp=pd.Timestamp.today().normalize() - BDay()): |