diff options
Diffstat (limited to 'python/analytics/index.py')
| -rw-r--r-- | python/analytics/index.py | 3 |
1 files changed, 1 insertions, 2 deletions
diff --git a/python/analytics/index.py b/python/analytics/index.py index 38d76eda..62b36508 100644 --- a/python/analytics/index.py +++ b/python/analytics/index.py @@ -120,10 +120,9 @@ class CreditIndex(CreditDefaultSwap): @property def hy_equiv(self): - risk = abs(self.notional) * self.risky_annuity / analytics._ontr.risky_annuity + risk = self.notional * self.risky_annuity / analytics._ontr.risky_annuity if self.index_type != 'HY': risk *= analytics._beta[self.index_type] - return -risk if self.direction == 'Buyer' else risk @property def ref(self): |