diff options
Diffstat (limited to 'python/analytics/index.py')
| -rw-r--r-- | python/analytics/index.py | 11 |
1 files changed, 9 insertions, 2 deletions
diff --git a/python/analytics/index.py b/python/analytics/index.py index 7f30c431..ab32fa89 100644 --- a/python/analytics/index.py +++ b/python/analytics/index.py @@ -178,10 +178,17 @@ class CreditIndex(CreditDefaultSwap): @property def hy_equiv(self): try: - ontr = analytics._ontr + ontr = analytics._ontr[self.index_type] except AttributeError: return float("nan") - risk = self.notional * self.risky_annuity / ontr.risky_annuity + # hy_equiv is on current notional of the on the run + risk = ( + self.notional + * self.risky_annuity + / ontr.risky_annuity + * self.factor + * self._fx + ) if self.index_type != "HY": risk *= analytics._beta[self.index_type] return risk |