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Diffstat (limited to 'python/analytics/credit_default_swap.py')
| -rw-r--r-- | python/analytics/credit_default_swap.py | 5 |
1 files changed, 5 insertions, 0 deletions
diff --git a/python/analytics/credit_default_swap.py b/python/analytics/credit_default_swap.py index a2464f94..e863de12 100644 --- a/python/analytics/credit_default_swap.py +++ b/python/analytics/credit_default_swap.py @@ -47,6 +47,7 @@ class CreditDefaultSwap: "_pv", "_clean_pv", "_original_clean_pv", + "_original_local_clean_pv", "_trade_date", "_factor", ) @@ -94,6 +95,7 @@ class CreditDefaultSwap: "_pv", "_clean_pv", "_original_clean_pv", + "_original_local_clean_pv", "_trade_date", ]: setattr(self, attr, None) @@ -183,6 +185,9 @@ class CreditDefaultSwap: np.array([self.recovery]), ) + if self._sc is None: + return + self._risky_annuity = self._fee_leg.pv( self.value_date, self._step_in_date, |