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Diffstat (limited to 'python/analytics/index.py')
| -rw-r--r-- | python/analytics/index.py | 2 |
1 files changed, 1 insertions, 1 deletions
diff --git a/python/analytics/index.py b/python/analytics/index.py index 39226db4..06cd329c 100644 --- a/python/analytics/index.py +++ b/python/analytics/index.py @@ -112,7 +112,7 @@ class CreditIndex(CreditDefaultSwap): print(e) return None else: - recovery = 0.4 if index_type in ["IG", "EU"] else 0.3 + recovery = 0.3 if index_type == "HY" else 0.4 super().__init__( value_date, maturity, recovery, coupon, notional, df.issue_date[0] ) |