diff options
Diffstat (limited to 'python/analytics/tranche_basket.py')
| -rw-r--r-- | python/analytics/tranche_basket.py | 6 |
1 files changed, 4 insertions, 2 deletions
diff --git a/python/analytics/tranche_basket.py b/python/analytics/tranche_basket.py index 58d09365..da1b85d8 100644 --- a/python/analytics/tranche_basket.py +++ b/python/analytics/tranche_basket.py @@ -4,6 +4,7 @@ from .tranche_functions import ( credit_schedule, adjust_attachments, cds_accrued, GHquad, BCloss_recov_dist, BCloss_recov_trunc, tranche_cl, tranche_pl) from .index_data import get_singlenames_curves, get_tranche_quotes +from collections import namedtuple from copy import deepcopy from pyisda.cdsone import upfront_charge from pandas.tseries.offsets import BDay @@ -105,10 +106,11 @@ class TrancheBasket(BasketIndex): self.recovery_rates, rho, self._Z, self._w, self._Ngrid) + Legs = namedtuple('TrancheLegs', 'coupon_leg, protection_leg') if complement: - return tranche_cl(L, R, cs, K, 1.), tranche_pl(L, cs, K, 1.) + return Legs(tranche_cl(L, R, cs, K, 1.), tranche_pl(L, cs, K, 1.)) else: - return tranche_cl(L, R, cs, 0., K), tranche_pl(L, cs, 0., K) + return Legs(tranche_cl(L, R, cs, 0., K), tranche_pl(L, cs, 0., K)) def tranche_pvs(self, protection=False, complement=False, shortened=0): cl = np.zeros(self.rho.size) |