diff options
Diffstat (limited to 'python/analytics/credit_default_swap.py')
| -rw-r--r-- | python/analytics/credit_default_swap.py | 4 |
1 files changed, 2 insertions, 2 deletions
diff --git a/python/analytics/credit_default_swap.py b/python/analytics/credit_default_swap.py index 64cf2588..d2a4b2b0 100644 --- a/python/analytics/credit_default_swap.py +++ b/python/analytics/credit_default_swap.py @@ -77,7 +77,7 @@ class CreditDefaultSwap: self._spread, self._price = None, None self.name = None self.issue_date = issue_date - self._factor = 1 + self._factor = 1.0 for attr in [ "currency", "_step_in_date", @@ -371,7 +371,7 @@ class CreditDefaultSwap: raise ValueError("original pv not set") else: days_accrued = (self.value_date - self._trade_date).days / 360 - return self.notional * ( + return self.notional * self._factor * ( self._clean_pv - self._original_clean_pv - days_accrued * self.fixed_rate * 1e-4 |