diff options
Diffstat (limited to 'python/analytics/index.py')
| -rw-r--r-- | python/analytics/index.py | 21 |
1 files changed, 17 insertions, 4 deletions
diff --git a/python/analytics/index.py b/python/analytics/index.py index 88c06485..58cada76 100644 --- a/python/analytics/index.py +++ b/python/analytics/index.py @@ -27,14 +27,27 @@ def g(index, spread, exercise_date, forward_yc=None, pv=None): forward_yc = index._yc step_in_date = exercise_date + datetime.timedelta(days=1) exercise_date_settle = pd.Timestamp(exercise_date) + 3 * BDay() + if spread is None and index._sc is not None: + sc = index._sc + prot = index._default_leg.pv(exercise_date, step_in_date, exercise_date_settle, forward_yc, + index._sc, index.recovery) + else: + rates = array.array('d', [spread * 1e-4]) + upfront = 0. if pv is None else pv + sc = SpreadCurve(exercise_date, forward_yc, index.start_date, + step_in_date, exercise_date_settle, + [index.end_date], rates, array.array('d', [upfront]), + array.array('d', [index.recovery])) a = index._fee_leg.pv(exercise_date, step_in_date, exercise_date_settle, - forward_yc, index._sc, True) - prot = index._default_leg.pv(exercise_date, step_in_date, exercise_date_settle, forward_yc, - index._sc, index.recovery) + forward_yc, sc, True) + if pv is not None: return 1e4 * pv / a + spread else: - return prot - a * index.fixed_rate*1e-4 + if spread is None: + return prot - a * index.fixed_rate*1e-4 + else: + return (spread - index.fixed_rate) * a * 1e-4 class Index(object): """ minimal class to represent a credit index """ |