diff options
Diffstat (limited to 'python/analytics/index.py')
| -rw-r--r-- | python/analytics/index.py | 14 |
1 files changed, 5 insertions, 9 deletions
diff --git a/python/analytics/index.py b/python/analytics/index.py index 32001ac2..88c06485 100644 --- a/python/analytics/index.py +++ b/python/analytics/index.py @@ -27,18 +27,14 @@ def g(index, spread, exercise_date, forward_yc=None, pv=None): forward_yc = index._yc step_in_date = exercise_date + datetime.timedelta(days=1) exercise_date_settle = pd.Timestamp(exercise_date) + 3 * BDay() - rates = array.array('d', [spread * 1e-4]) - upfront = 0. if pv is None else pv - sc = SpreadCurve(exercise_date, forward_yc, index.start_date, - step_in_date, exercise_date_settle, - [index.end_date], rates, array.array('d', [upfront]), - array.array('d', [index.recovery])) a = index._fee_leg.pv(exercise_date, step_in_date, exercise_date_settle, - forward_yc, sc, True) + forward_yc, index._sc, True) + prot = index._default_leg.pv(exercise_date, step_in_date, exercise_date_settle, forward_yc, + index._sc, index.recovery) if pv is not None: return 1e4 * pv / a + spread else: - return (spread - index.fixed_rate) * a * 1e-4 + return prot - a * index.fixed_rate*1e-4 class Index(object): """ minimal class to represent a credit index """ @@ -51,7 +47,7 @@ class Index(object): '_original_clean_pv', '_original_trade_date', 'index_type', 'series', 'tenor', '_observed'] def __init__(self, start_date, end_date, recovery, fixed_rate, - notional = 10e6, quote_is_price=False, issue_date=None): + notional=10e6, quote_is_price=False, issue_date=None): """ start_date : :class:`datetime.date` index start_date (Could be issue date, or last imm date) |