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Diffstat (limited to 'python/analytics/credit_default_swap.py')
| -rw-r--r-- | python/analytics/credit_default_swap.py | 2 |
1 files changed, 1 insertions, 1 deletions
diff --git a/python/analytics/credit_default_swap.py b/python/analytics/credit_default_swap.py index 25c6fd32..596b4b80 100644 --- a/python/analytics/credit_default_swap.py +++ b/python/analytics/credit_default_swap.py @@ -235,7 +235,7 @@ class CreditDefaultSwap: @pv.setter def pv(self, val): - self._pv = -val / (self.notional * self._factor) + self._pv = val / (abs(self.notional) * self._factor) self._clean_pv = self._pv + self._accrued * self.fixed_rate * 1e-4 self.price = 100 * (1 - self._clean_pv) |