diff options
Diffstat (limited to 'python/analytics/tranche_basket.py')
| -rw-r--r-- | python/analytics/tranche_basket.py | 8 |
1 files changed, 5 insertions, 3 deletions
diff --git a/python/analytics/tranche_basket.py b/python/analytics/tranche_basket.py index 555bc217..876abe67 100644 --- a/python/analytics/tranche_basket.py +++ b/python/analytics/tranche_basket.py @@ -339,7 +339,7 @@ class TrancheBasket(BasketIndex): if self.index_type == "XO": coupon = 500 * 1e-4 self.tranche_quotes.quotes.iat[3] = self._snacpv( - self.tranche_quotes.running.iat[3], coupon, 0.4) + self.tranche_quotes.running.iat[3], coupon, 0.4, self.maturity) self.tranche_quotes.running = coupon if self.index_type == "EU": @@ -349,7 +349,8 @@ class TrancheBasket(BasketIndex): self.tranche_quotes.quotes.iat[i] = self._snacpv( self.tranche_quotes.running.iat[i], coupon, - 0. if i == 2 else 0.4) + 0. if i == 2 else 0.4, + self.maturity) self.tranche_quotes.running.iat[i] = coupon elif self.series == 9: for i in [3, 4, 5]: @@ -358,7 +359,8 @@ class TrancheBasket(BasketIndex): self.tranche_quotes.quotes.iat[i] = self._snacpv( self.tranche_quotes.running.iat[i], coupon, - recov) + recov, + self.maturity) self.tranche_quotes.running.iat[i] = coupon self._accrued = np.array([cds_accrued(self.value_date, r) for r in self.tranche_quotes.running]) |