diff options
Diffstat (limited to 'python/analytics/index.py')
| -rw-r--r-- | python/analytics/index.py | 9 |
1 files changed, 8 insertions, 1 deletions
diff --git a/python/analytics/index.py b/python/analytics/index.py index 3130398a..4c841a74 100644 --- a/python/analytics/index.py +++ b/python/analytics/index.py @@ -1,6 +1,7 @@ import array import datetime import pandas as pd +import analytics from .credit_default_swap import CreditDefaultSwap from .db import _engine, dbengine, DataError @@ -8,7 +9,6 @@ from bbg_helpers import BBG_IP, retrieve_data, init_bbg_session from pandas.tseries.offsets import BDay from pyisda.curve import SpreadCurve - def g(index, spread, exercise_date, pv=None): """computes the strike clean price using the expected forward yield curve. """ step_in_date = exercise_date + datetime.timedelta(days=1) @@ -113,6 +113,13 @@ class CreditIndex(CreditDefaultSwap): return instance @property + def hy_equiv(self): + risk = self.notional * self.risky_annuity / analytics._ontr.risky_annuity + if self.index_type != 'HY': + risk *= analytics._beta[self.index_type] + return -risk if self.direction == 'Buyer' else risk + + @property def ref(self): if self._quote_is_price: return self.price |