diff options
Diffstat (limited to 'python/analytics/tranche_basket.py')
| -rw-r--r-- | python/analytics/tranche_basket.py | 22 |
1 files changed, 11 insertions, 11 deletions
diff --git a/python/analytics/tranche_basket.py b/python/analytics/tranche_basket.py index 4397ce31..9b63ee97 100644 --- a/python/analytics/tranche_basket.py +++ b/python/analytics/tranche_basket.py @@ -54,10 +54,10 @@ class DualCorrTranche(): self._accrued = cds_accrued(value_date, tranche_running * 1e-4) self._ignore_hash = set(['_Z', '_w', 'cs', '_cache', '_ignore_hash']) - def _default_prob(self): + def _default_prob(self, epsilon=0.): return 1 - self._index.survival_matrix( self.cs.index.values.astype('M8[D]'). - view('int') + 134774)[0] + view('int') + 134774, epsilon)[0] def __hash__(self): def aux(v): @@ -103,7 +103,7 @@ class DualCorrTranche(): self._accrued = cds_accrued(d, self.tranche_running * 1e-4) @memoize(hasher=lambda args: (hash(args[0]._index), *args[1:])) - def tranche_legs(self, K, rho): + def tranche_legs(self, K, rho, epsilon=0.): if K == 0.: return 0., 0. elif K == 1.: @@ -111,7 +111,7 @@ class DualCorrTranche(): elif np.isnan(rho): raise ValueError("ρ needs to be a real number between 0. and 1.") else: - L, R = BCloss_recov_dist(self._default_prob(), + L, R = BCloss_recov_dist(self._default_prob(epsilon), self._index.weights, self._index.recovery_rates, rho, @@ -137,6 +137,9 @@ class DualCorrTranche(): @property def pv(self): + return self._pv() + + def _pv(self, epsilon=0.): """ computes coupon leg, protection leg and bond price. coupon leg is *dirty*. @@ -146,7 +149,7 @@ class DualCorrTranche(): i = 0 for rho, k in zip(self.rho, self.K): - cl[i], pl[i] = self.tranche_legs(k, rho) + cl[i], pl[i] = self.tranche_legs(k, rho, epsilon) i += 1 dK = np.diff(self.K) pl = np.diff(pl) / dK @@ -256,14 +259,11 @@ class DualCorrTranche(): def _greek_calc(self): eps = 1e-4 self._Ngrid = 301 - indexbp = [self._index.pv()[0]] + indexbp = [self._index.pv(self.maturity)] bp = [self.pv] - orig_curves = self._index.curves for tweak in [eps, -eps, 2*eps]: - self._index.tweak_portfolio(tweak, self.maturity, False) - indexbp.append(self._index.pv()[0]) - bp.append(self.pv) - self._index.curves = orig_curves + indexbp.append(self._index.pv(self.maturity, tweak)) + bp.append(self._pv(tweak)) return {'indexbp': indexbp, 'bp': bp} class TrancheBasket(BasketIndex): |