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Diffstat (limited to 'python/analytics/tranche_basket.py')
| -rw-r--r-- | python/analytics/tranche_basket.py | 8 |
1 files changed, 8 insertions, 0 deletions
diff --git a/python/analytics/tranche_basket.py b/python/analytics/tranche_basket.py index 9ec1a2b5..6ee49580 100644 --- a/python/analytics/tranche_basket.py +++ b/python/analytics/tranche_basket.py @@ -1288,6 +1288,14 @@ class TrancheBasket(BasketIndex): self.rho = rho_saved return corr01 + def implied_ss(self): + return ( + self.index_pv(clean=True).bond_price + - np.diff(self.K)[0] * self.tranche_pvs().bond_price[0] + - np.diff(self.K)[1] * self.tranche_pvs().bond_price[1] + - np.diff(self.K)[2] * self.tranche_pvs().bond_price[2] + ) / np.diff(self.K)[3] + def build_skew(self, skew_type="bottomup"): assert skew_type == "bottomup" or skew_type == "topdown" dK = np.diff(self.K) |