diff options
Diffstat (limited to 'python/analytics/index.py')
| -rw-r--r-- | python/analytics/index.py | 3 |
1 files changed, 3 insertions, 0 deletions
diff --git a/python/analytics/index.py b/python/analytics/index.py index 8137f63f..3628721f 100644 --- a/python/analytics/index.py +++ b/python/analytics/index.py @@ -95,6 +95,7 @@ class Index(object): self._step_in_date, self._value_date, [self.end_date], np.array([self._spread]), np.zeros(1), np.array([self.recovery])) + self._risky_annuity = self._fee_leg.pv(self.trade_date, self._step_in_date, self._value_date, self._yc, self._sc, False) @@ -279,6 +280,8 @@ class Index(object): accrued_str = "Accrued ({} Days)".format(self.days_accrued) else: accrued_str = "Accrued ({} Day)".format(self.days_accrued) + if not self.spread: + raise ValueError("Market spread is missing!") s = ["{:<20}\t{:>15}".format("CDS Index", colored(self.name, attrs = ['bold'])), "", "{:<20}\t{:>15}".format("Trade Date", ('{:%m/%d/%y}'. |