diff options
Diffstat (limited to 'python/analytics/tranche_basket.py')
| -rw-r--r-- | python/analytics/tranche_basket.py | 12 |
1 files changed, 6 insertions, 6 deletions
diff --git a/python/analytics/tranche_basket.py b/python/analytics/tranche_basket.py index 1913c1d1..2f5cdb4d 100644 --- a/python/analytics/tranche_basket.py +++ b/python/analytics/tranche_basket.py @@ -17,12 +17,12 @@ import numpy as np class TrancheBasket(BasketIndex): def __init__(self, index_type: str, series: int, tenor: str, *, - trade_date: pd.Timestamp=pd.Timestamp.today().normalize()): - super().__init__(index_type, series, [tenor], trade_date=trade_date) - self.tranche_quotes = get_tranche_quotes(index_type, series, tenor, trade_date.date()) + value_date: pd.Timestamp=pd.Timestamp.today().normalize()): + super().__init__(index_type, series, [tenor], value_date=value_date) + self.tranche_quotes = get_tranche_quotes(index_type, series, tenor, value_date.date()) index_desc = self.index_desc.reset_index('maturity').set_index('tenor') self.maturity = index_desc.loc[tenor].maturity - self.start_date, self.cs = credit_schedule(trade_date, tenor[:-1], 1, self.yc, self.maturity) + self.start_date, self.cs = credit_schedule(value_date, tenor[:-1], 1, self.yc, self.maturity) self.K_orig = np.hstack((0., self.tranche_quotes.detach)) / 100 self.K = adjust_attachments(self.K_orig, self.cumloss, self.factor) if index_type == "HY": @@ -55,7 +55,7 @@ class TrancheBasket(BasketIndex): coupon, recov) self.tranche_quotes.running.iat[i] = coupon - accrued = cds_accrued(self.trade_date, self.tranche_quotes.running) + accrued = cds_accrued(self.value_date, self.tranche_quotes.running) self.tranche_quotes.quotes -= accrued self._Ngh = 250 @@ -199,7 +199,7 @@ class TrancheBasket(BasketIndex): def tranche_durations(self, complement=False): cl = self.tranche_pvs(complement=complement).coupon_leg - durations = (cl - cds_accrued(self.trade_date, self.tranche_quotes.running)) / \ + durations = (cl - cds_accrued(self.value_date, self.tranche_quotes.running)) / \ self.tranche_quotes.running durations.index = self._row_names durations.name = 'duration' |