diff options
Diffstat (limited to 'python/analytics/basket_index.py')
| -rw-r--r-- | python/analytics/basket_index.py | 4 |
1 files changed, 3 insertions, 1 deletions
diff --git a/python/analytics/basket_index.py b/python/analytics/basket_index.py index 2d84e564..ea61f186 100644 --- a/python/analytics/basket_index.py +++ b/python/analytics/basket_index.py @@ -1,6 +1,6 @@ from .index_data import get_index_quotes, get_singlenames_curves from . import serenitas_engine -from .utils import tenor_t +from .utils import tenor_t, get_fx from functools import partial from pyisda.cdsone import upfront_charge, spread_from_upfront from pyisda.credit_index import CreditIndex @@ -89,6 +89,7 @@ class BasketIndex(CreditIndex): self.currency = "EUR" if index_type in ["XO", "EU"] else "USD" self.yc = get_curve(value_date, self.currency) + self._fx = get_fx(value_date, self.currency) self.step_in_date = value_date + Day() self.cash_settle_date = value_date + 3 * BDay() self.tweaks = [] @@ -164,6 +165,7 @@ class BasketIndex(CreditIndex): self.index_type, self.series, d, self._curve_tenors ) self.yc = get_curve(d, self.currency) + self._fx = get_fx(d, self.currency) self.step_in_date = d + Day() self.cash_settle_date = d + 3 * BDay() self.start_date = previous_twentieth(d) # or d + 1? |