diff options
Diffstat (limited to 'python/analytics/index.py')
| -rw-r--r-- | python/analytics/index.py | 12 |
1 files changed, 5 insertions, 7 deletions
diff --git a/python/analytics/index.py b/python/analytics/index.py index 7d31ab3f..8d157897 100644 --- a/python/analytics/index.py +++ b/python/analytics/index.py @@ -219,16 +219,15 @@ class Index(object): @property def DV01(self): - old_pv = self.pv + old_pv, old_spread = self.pv, self.spread self.spread += 1 dv01 = self.pv - old_pv - self.spread -= 1 + self.spread = old_spread return dv01 @property def IRDV01(self): - old_pv = self.pv - old_yc = self._yc + old_pv, old_yc = self.pv, self._yc # for rh in self._helpers: # rh.quote += 1e-4 # self._yc = ql_to_jp(self._ql_yc) @@ -247,8 +246,7 @@ class Index(object): @property def rec_risk(self): - old_pv = self.pv - old_recovery = self.recovery + old_pv, old_recovery = self.pv, self.recovery self.recovery = old_recovery - 0.01 self._update() pv_minus = self.pv @@ -257,7 +255,7 @@ class Index(object): pv_plus = self.pv self.recovery = old_recovery self._update() - return (pv_plus - pv_minus)/2 + return (pv_plus - pv_minus) / 2 @property def jump_to_default(self): |