diff options
Diffstat (limited to 'python/analytics/basket_index.py')
| -rw-r--r-- | python/analytics/basket_index.py | 7 |
1 files changed, 5 insertions, 2 deletions
diff --git a/python/analytics/basket_index.py b/python/analytics/basket_index.py index 4c08c157..612fb733 100644 --- a/python/analytics/basket_index.py +++ b/python/analytics/basket_index.py @@ -121,8 +121,11 @@ class BasketIndex(CreditIndex): def _get_quotes(self, *args): """ allow to tweak based on manually inputed quotes""" - return {m: self._snacpv(s*1e-4, self.coupon(m), self.recovery, m) - for m, s in zip(self.maturities, args[0])} + if self.index_type == "HY": + return {m: (100-p)/100 for m, p in zip(self.maturities, args[0])} + else: + return {m: self._snacpv(s*1e-4, self.coupon(m), self.recovery, m) + for m, s in zip(self.maturities, args[0])} value_date = property(CreditIndex.value_date.__get__) |