diff options
Diffstat (limited to 'python/analytics/index.py')
| -rw-r--r-- | python/analytics/index.py | 11 |
1 files changed, 5 insertions, 6 deletions
diff --git a/python/analytics/index.py b/python/analytics/index.py index 85842d15..75a3e0b2 100644 --- a/python/analytics/index.py +++ b/python/analytics/index.py @@ -21,25 +21,24 @@ from bbg_helpers import BBG_IP, retrieve_data, init_bbg_session from yieldcurve import get_curve, rate_helpers, YC, ql_to_jp from weakref import WeakSet -def g(index, spread, exercise_date, forward_yc=None, pv=None): +def g(index, spread, exercise_date, pv=None): """computes the strike clean price using the expected forward yield curve. """ - if forward_yc is None: - forward_yc = index._yc step_in_date = exercise_date + datetime.timedelta(days=1) exercise_date_settle = pd.Timestamp(exercise_date) + 3 * BDay() if spread is None and index._sc is not None: sc = index._sc - prot = index._default_leg.pv(exercise_date, step_in_date, exercise_date_settle, forward_yc, + prot = index._default_leg.pv(exercise_date, step_in_date, + exercise_date_settle, index._yc, index._sc, index.recovery) else: rates = array.array('d', [spread * 1e-4]) upfront = 0. if pv is None else pv - sc = SpreadCurve(exercise_date, forward_yc, index.start_date, + sc = SpreadCurve(exercise_date, index._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) + index._yc, sc, True) if pv is not None: return 1e4 * pv / a + spread |