diff options
Diffstat (limited to 'python/analytics/index.py')
| -rw-r--r-- | python/analytics/index.py | 13 |
1 files changed, 6 insertions, 7 deletions
diff --git a/python/analytics/index.py b/python/analytics/index.py index 95ec5210..bc3db1e1 100644 --- a/python/analytics/index.py +++ b/python/analytics/index.py @@ -17,20 +17,18 @@ from yieldcurve import YC, ql_to_jp, roll_yc, rate_helpers serenitasdb = dbconn('serenitasdb') -def g(index, spread : float, exercise_date : datetime.date, use_rolled_curve = True): +def g(index, spread : float, exercise_date : datetime.date, forward_yc = None): """ computes the strike clean price using the expected forward yield curve """ - if use_rolled_curve: - rolled_curve = roll_yc(index._yc, exercise_date) - else: - rolled_curve = index._yc + if forward_yc is None: + forward_yc = index._yc step_in_date = exercise_date + datetime.timedelta(days=1) exercise_date_settle = (pd.Timestamp(exercise_date) + 3* BDay()).date() - sc = SpreadCurve(exercise_date, rolled_curve, index.start_date, + sc = SpreadCurve(exercise_date, forward_yc, index.start_date, step_in_date, exercise_date_settle, [index.end_date], array.array('d', [spread * 1e-4]), index.recovery) a = index._fee_leg.pv(exercise_date, step_in_date, exercise_date_settle, - rolled_curve, sc, True) + forward_yc, sc, True) return (spread - index.fixed_rate) * a *1e-4 class Index(): @@ -103,6 +101,7 @@ class Index(): clean_forward_annuity = a - Delta * df * q forward_price = self.notional * clean_forward_annuity * (self._spread - self.fixed_rate*1e-4) + fep = self.notional * (1 - self.recovery) * (1 - q) return forward_price / df + fep |