diff options
Diffstat (limited to 'python/analytics/tranche_basket.py')
| -rw-r--r-- | python/analytics/tranche_basket.py | 27 |
1 files changed, 25 insertions, 2 deletions
diff --git a/python/analytics/tranche_basket.py b/python/analytics/tranche_basket.py index abc91bd7..b16c7217 100644 --- a/python/analytics/tranche_basket.py +++ b/python/analytics/tranche_basket.py @@ -1425,5 +1425,28 @@ class MarkitTrancheBasket(TrancheBasket): class ManualTrancheBasket(TrancheBasket): """TrancheBasket with quotes manually provided""" - def _set_tranche_quotes(self, value_date, tranche_quotes): - self.tranche_quotes = tranche_quotes + def _set_tranche_quotes(self, value_date, ref, quotes): + if self.index_type == "HY": + detach = [15, 25, 35, 100] + elif self.index_type == "IG": + detach = [3, 7, 15, 100] + elif self.index_type == "EU": + detach = [3, 6, 12, 100] + else: + detach = [10, 20, 35, 100] + coupon = 500 if (self.index_type == "HY" or self.index_type == "XO") else 100 + if self.index_type == "HY": + ref_type1 = "indexrefprice" + ref_type2 = "indexrefspread" + else: + ref_type1 = "indexrefspread" + ref_type2 = "indexrefprice" + self.tranche_quotes = pd.DataFrame( + { + "detach": np.array(detach), + "trancheupfrontmid": np.array(quotes), + "trancherunningmid": np.full(4, coupon), + ref_type1: np.full(4, ref), + ref_type2: np.full(4, None), + } + ) |