diff options
Diffstat (limited to 'python/analytics/index.py')
| -rw-r--r-- | python/analytics/index.py | 21 |
1 files changed, 17 insertions, 4 deletions
diff --git a/python/analytics/index.py b/python/analytics/index.py index d12f4de3..f9c353de 100644 --- a/python/analytics/index.py +++ b/python/analytics/index.py @@ -38,6 +38,13 @@ def g(index, spread, exercise_date, forward_yc=None, pv=0.): class Index(object): """ minimal class to represent a credit index """ + __slots__ = ['fixed_rate', 'notional', '_start_date', '_end_date', + 'recovery', 'factor', '_fee_leg', '_default_leg', + '_trade_date', '_yc', '_sc', '_risky_annuity', '_spread', + '_price', 'name', 'issue_date', '_quote_is_price', + '_direction', 'currency', '_step_in_date', '_accrued', + '_value_date', '_dl_pv', '_pv', '_clean_pv', + '_original_clean_pv', '_original_trade_date'] def __init__(self, start_date, end_date, recovery, fixed_rate, notional = 10e6, quote_is_price=False, issue_date=None): """ @@ -60,14 +67,18 @@ class Index(object): self._fee_leg = FeeLeg(self._start_date, end_date, True, 1., 1.) self._default_leg = ContingentLeg(self._start_date, end_date, True) self._trade_date = None - self._yc = None - self._sc = None + self._yc, self._sc = None, None self._risky_annuity = None - self._spread = None - self._price = None + self._spread, self._price = None, None self.name = None self.issue_date = issue_date self._quote_is_price = quote_is_price + self._direction = -1. + self.currency = None + self._step_in_date, self._value_date = None, None + self._accrued = None + self._dl_pv, self._pv, self._clean_pv = None, None, None + self._original_clean_pv, self._original_trade_date = None, None @property def start_date(self): @@ -411,6 +422,8 @@ class Index(object): class ForwardIndex(object): + __slots__ = ['index', 'forward_date', 'exercise_date_settle', 'df', + '_forward_annuity', '_forward_pv', '_forward_spread'] def __init__(self, index, forward_date): self.index = index self.forward_date = forward_date |