diff options
Diffstat (limited to 'python/analytics/tranche_basket.py')
| -rw-r--r-- | python/analytics/tranche_basket.py | 5 |
1 files changed, 4 insertions, 1 deletions
diff --git a/python/analytics/tranche_basket.py b/python/analytics/tranche_basket.py index c11798a8..58d09365 100644 --- a/python/analytics/tranche_basket.py +++ b/python/analytics/tranche_basket.py @@ -65,7 +65,10 @@ class TrancheBasket(BasketIndex): def tranche_factors(self): return np.diff(self.K) / np.diff(self.K_orig) * self.factor - def _get_quotes(self): + def _get_quotes(self, spread=None): + if spread is not None: + return {self.maturity: + self._snacpv(spread * 1e-4, self.coupon(self.maturity), self.recovery)} refprice = self.tranche_quotes.indexrefprice.iat[0] refspread = self.tranche_quotes.indexrefspread.iat[0] if refprice is not None: |