diff options
Diffstat (limited to 'python/analytics/basket_index.py')
| -rw-r--r-- | python/analytics/basket_index.py | 11 |
1 files changed, 10 insertions, 1 deletions
diff --git a/python/analytics/basket_index.py b/python/analytics/basket_index.py index 8a2a7766..ef3df15d 100644 --- a/python/analytics/basket_index.py +++ b/python/analytics/basket_index.py @@ -2,6 +2,7 @@ from .index_data import get_index_quotes, get_singlenames_curves from .db import serenitas_engine from .utils import tenor_t from functools import partial +from pyisda.cdsone import upfront_charge, spread_from_upfront from pyisda.credit_index import CreditIndex from pyisda.date import previous_twentieth from typing import List @@ -12,7 +13,7 @@ import pandas as pd from math import exp from scipy.optimize import brentq from pandas.tseries.offsets import Day, BDay -from pyisda.cdsone import upfront_charge + def make_index(t, d, args): @@ -272,6 +273,14 @@ class BasketIndex(CreditIndex): self.step_in_date, self.start_date, maturity, coupon, self.yc, spread, recov) + def _snacspread(self, coupon, recov, maturity): + return spread_from_upfront(self.value_date, self.cash_settle_date, + self.start_date, self.step_in_date, + self.start_date, maturity, + coupon, self.yc, + self.pv(maturity), recov) + + class MarkitBasketIndex(BasketIndex): def __init__(self, index_type: str, series: int, tenors: List[str], *, |