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Diffstat (limited to 'python/analytics/basket_index.py')
| -rw-r--r-- | python/analytics/basket_index.py | 4 |
1 files changed, 4 insertions, 0 deletions
diff --git a/python/analytics/basket_index.py b/python/analytics/basket_index.py index 0398a6f6..bcf3d17c 100644 --- a/python/analytics/basket_index.py +++ b/python/analytics/basket_index.py @@ -120,6 +120,10 @@ class BasketIndex(CreditIndex): self.cash_settle_date = d + 3 * BDay() CreditIndex.value_date.__set__(self, d) + @property + def recovery_rates(self): + return np.array([c.recovery_rates[0] for c in self.curves]) + def pv(self, maturity=None, epsilon=0., coupon=None): if maturity is None: r = [] |