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Diffstat (limited to 'python/analytics/index.py')
| -rw-r--r-- | python/analytics/index.py | 17 |
1 files changed, 16 insertions, 1 deletions
diff --git a/python/analytics/index.py b/python/analytics/index.py index 0da98e47..a1ec4bb8 100644 --- a/python/analytics/index.py +++ b/python/analytics/index.py @@ -15,9 +15,24 @@ from pyisda.curve import SpreadCurve from .utils import previous_twentieth 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): + """ 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 + 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, + 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) + return (spread - index.fixed_rate) * a *1e-4 + class Index(): """ minimal class to represent a credit index """ def __init__(self, start_date, end_date, recovery, fixed_rate, |