diff options
Diffstat (limited to 'python/analytics/tranche_basket.py')
| -rw-r--r-- | python/analytics/tranche_basket.py | 16 |
1 files changed, 11 insertions, 5 deletions
diff --git a/python/analytics/tranche_basket.py b/python/analytics/tranche_basket.py index 01261808..dc691f15 100644 --- a/python/analytics/tranche_basket.py +++ b/python/analytics/tranche_basket.py @@ -205,10 +205,15 @@ class DualCorrTranche(): @property def upfront(self): - """ returns upfront in points""" + """returns protection upfront in points""" pl, cl = self._pv() return -100 * (pl + cl - self._accrued) + @property + def price(self): + pl, cl = self._pv() + return 100 * (1 + pl + cl - self._accrued) + @upfront.setter def upfront(self, upf): def aux(rho): @@ -236,7 +241,7 @@ class DualCorrTranche(): "", "{:<20}\t{:>15}".format("Value Date", f'{self.value_date:%m/%d/%y}'), "{:<20}\t{:>15}".format("Direction", self.direction)] - rows = [["Notional", self.notional, "PV", self.pv *100], + rows = [["Notional", self.notional, "PV", self.pv], ["Attach", self.attach, "Detach", self.detach], ["Attach Corr", self.rho[0], "Detach Corr", self.rho[1]], ["Delta", self.delta, "Gamma", self.gamma]] @@ -324,16 +329,17 @@ class DualCorrTranche(): (calc['indexbp'][3] - calc['indexbp'][0]) * factor delta = (calc['bp'][1] - calc['bp'][2]) / \ (calc['indexbp'][1] - calc['indexbp'][2]) * factor - return -(deltaplus - delta) / (calc['indexbp'][1] - calc['indexbp'][0]) / 100 + return (deltaplus - delta) / (calc['indexbp'][1] - calc['indexbp'][0]) / 100 def _greek_calc(self): eps = 1e-4 indexbp = [self.tranche_legs(1., None, 0.).bond_price] - bp = [self.pv] + pl, cl = self._pv() + bp = [pl + cl] for tweak in [eps, -eps, 2*eps]: indexbp.append(self.tranche_legs(1., None, tweak).bond_price) pl, cl = self._pv(tweak) - bp.append(float(-pl - cl + self._accrued)) + bp.append(pl + cl) return {'indexbp': indexbp, 'bp': bp} class TrancheBasket(BasketIndex): |