diff options
Diffstat (limited to 'python/analytics/basket_index.py')
| -rw-r--r-- | python/analytics/basket_index.py | 8 |
1 files changed, 4 insertions, 4 deletions
diff --git a/python/analytics/basket_index.py b/python/analytics/basket_index.py index d9f243ea..22b48b71 100644 --- a/python/analytics/basket_index.py +++ b/python/analytics/basket_index.py @@ -121,7 +121,7 @@ class BasketIndex(CreditIndex): r = [] for m in self.maturities: coupon = self.index_desc.coupon[m] - r.append(super().pv(self.step_in_date, self.value_date, + r.append(super().pv(self.step_in_date, self.cash_settle_date, m, self.yc, self.recovery, coupon, epsilon)) @@ -132,7 +132,7 @@ class BasketIndex(CreditIndex): coupon = self.index_desc.coupon[maturity] except KeyError: raise ValueError("Non standard maturity: coupon must be provided") - return super().pv(self.step_in_date, self.value_date, maturity, + return super().pv(self.step_in_date, self.cash_settle_date, maturity, self.yc, self.recovery, coupon, epsilon) @@ -154,11 +154,11 @@ class BasketIndex(CreditIndex): if maturity is None: r = [] for m in self.maturities: - r.append(super().duration(self.step_in_date, self.value_date, + r.append(super().duration(self.step_in_date, self.cash_settle_date, m, self.yc)) return pd.Series(r, index=self.index_desc.tenor, name='duration') else: - return super().duration(self.step_in_date, self.value_date, + return super().duration(self.step_in_date, self.cash_settle_date, maturity, self.yc) def theta(self, maturity=None, coupon=None, theta_date=None): |