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Diffstat (limited to 'python/analytics/tranche_basket.py')
| -rw-r--r-- | python/analytics/tranche_basket.py | 12 |
1 files changed, 10 insertions, 2 deletions
diff --git a/python/analytics/tranche_basket.py b/python/analytics/tranche_basket.py index 63daddff..5f19451b 100644 --- a/python/analytics/tranche_basket.py +++ b/python/analytics/tranche_basket.py @@ -719,14 +719,22 @@ class DualCorrTranche: @property def hy_equiv(self): + # hy_equiv is on current notional. + if self.index_type == "BS": + ontr = analytics._ontr["HY"] + else: + ontr = analytics._ontr[self.index_type] risk = ( self.notional * self.delta * float(self._index.duration()) - / analytics._ontr.risky_annuity + * self._index.factor + / ontr.risky_annuity ) - if self.index_type not in ["HY", "BS"]: + if self.index_type not in ("HY", "BS"): risk *= analytics._beta[self.index_type] + if self.index_type == "BS": + risk *= self._index.spread(self._index.maturities[0]) / ontr.spread return risk @property |