diff options
Diffstat (limited to 'python/analytics/index.py')
| -rw-r--r-- | python/analytics/index.py | 10 |
1 files changed, 7 insertions, 3 deletions
diff --git a/python/analytics/index.py b/python/analytics/index.py index 2b77862c..88b9d29c 100644 --- a/python/analytics/index.py +++ b/python/analytics/index.py @@ -399,7 +399,7 @@ class Index(object): print(e) return None else: - recovery = 0.4 if index_type == "IG" else 0.3 + recovery = 0.4 if index_type in ['IG', 'EU'] else 0.3 instance = cls(trade_date, maturity, recovery, coupon, notional, index_type == "HY", df.issue_date[0]) instance._version = tuple((ld.date(), factor / 100, version) for ld, factor, version in \ @@ -431,9 +431,10 @@ class Index(object): ON security_id = redindexcode AND cds.maturity = index_desc.maturity WHERE id=%s""", (trade_id,)) rec = r.fetchone() - recovery = 0.4 if "IG" in rec.security_desc else 0.3 + index_type = rec.index + recovery = 0.4 if index_type in ['IG', 'EU'] else 0.3 instance = cls(rec.trade_date, rec.maturity, recovery, rec.fixed_rate * 100, - rec.notional, recovery==0.3, rec.issue_date) + rec.notional, recovery, rec.issue_date) r = _engine.execute("SELECT lastdate, indexfactor/100 AS factor, version FROM index_version " \ "WHERE index=%s and series=%s", (rec.index, rec.series)) instance._version = tuple(tuple(t) for t in r) @@ -445,6 +446,9 @@ class Index(object): instance.pv = rec.upfront instance._original_clean_pv = instance._clean_pv instance._original_trade_date = rec.trade_date + instance.index_type = index_type + instance.series = rec.series + instance.tenor = rec.tenor return instance def __repr__(self): |