diff options
Diffstat (limited to 'python/analytics/tranche_basket.py')
| -rw-r--r-- | python/analytics/tranche_basket.py | 8 |
1 files changed, 6 insertions, 2 deletions
diff --git a/python/analytics/tranche_basket.py b/python/analytics/tranche_basket.py index e47343fb..fafc2d70 100644 --- a/python/analytics/tranche_basket.py +++ b/python/analytics/tranche_basket.py @@ -124,6 +124,10 @@ class TrancheBasket(BasketIndex): 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): + """ computes coupon leg, protection leg and bond price. + + coupon leg is *dirty*. + bond price is *clean*.""" cl = np.zeros(self.rho.size) pl = np.zeros(self.rho.size) i = 0 @@ -137,9 +141,9 @@ class TrancheBasket(BasketIndex): pl *= -1 cl *= -1 if protection: - bp = -pl -cl + bp = -pl - cl + self._accrued else: - bp = 1 + pl + cl + bp = 1 + pl + cl - self._accrued Pvs = namedtuple('TranchePvs', 'coupon_leg, protection_leg, bond_price') return Pvs(cl, pl, bp) |