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Diffstat (limited to 'python/analytics/credit_default_swap.py')
| -rw-r--r-- | python/analytics/credit_default_swap.py | 9 |
1 files changed, 8 insertions, 1 deletions
diff --git a/python/analytics/credit_default_swap.py b/python/analytics/credit_default_swap.py index 4ad253d1..932e90ed 100644 --- a/python/analytics/credit_default_swap.py +++ b/python/analytics/credit_default_swap.py @@ -12,7 +12,7 @@ from pyisda.curve import SpreadCurve from pyisda.date import previous_twentieth from pyisda.legs import ContingentLeg, FeeLeg from termcolor import colored -from .utils import build_table +from .utils import build_table, get_fx from weakref import WeakSet from yieldcurve import get_curve, rate_helpers, YC, ql_to_jp @@ -211,6 +211,13 @@ class CreditDefaultSwap: self.price = 100 * (1 - self._clean_pv) @property + def local_pv(self): + if self.currency == "USD": + return self.pv + else: + return self.pv * get_fx(self.currency, self.value_date) + + @property def accrued(self): return -self.notional * self._factor * self._accrued * self.fixed_rate * 1e-4 |