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Diffstat (limited to 'python/analytics/index.py')
| -rw-r--r-- | python/analytics/index.py | 11 |
1 files changed, 11 insertions, 0 deletions
diff --git a/python/analytics/index.py b/python/analytics/index.py index 8e3e9684..3abe5376 100644 --- a/python/analytics/index.py +++ b/python/analytics/index.py @@ -3,6 +3,7 @@ import array import datetime import pandas as pd +from .basket_index import BasketIndex from .credit_default_swap import CreditDefaultSwap from . import serenitas_engine, dawn_engine from .exceptions import MissingDataError @@ -275,6 +276,16 @@ class CreditIndex(CreditDefaultSwap): def cumloss(self): return self._cumloss + def jtd_single_names(self, spreads=False): + """single names jump to defaut""" + bkt = BasketIndex(self.index_type, self.series, [self.tenor]) + bkt.value_date = self.value_date + bkt.tweak([self.ref]) + jtd = bkt.jtd_single_names() * self.notional + if spreads: + jtd["spread"] = bkt.spreads() * 10000 + return jtd.unstack().swaplevel() + def __repr__(self): if not self.spread: raise ValueError("Market spread is missing!") |