diff options
Diffstat (limited to 'python/analytics/tranche_basket.py')
| -rw-r--r-- | python/analytics/tranche_basket.py | 13 |
1 files changed, 12 insertions, 1 deletions
diff --git a/python/analytics/tranche_basket.py b/python/analytics/tranche_basket.py index 3167841d..728662e9 100644 --- a/python/analytics/tranche_basket.py +++ b/python/analytics/tranche_basket.py @@ -24,12 +24,23 @@ class DualCorrTranche(): _cache = LRU(64) _Legs = namedtuple('Legs', 'coupon_leg, protection_leg, bond_price') - def __init__(self, index_type: str, series: int, tenor: str, *, + def __init__(self, index_type: str=None, series: int=None, + tenor: str=None, *, attach: float, detach: float, corr_attach: float, corr_detach: float, tranche_running: float, notional: float=10_000_000, + redcode: str=None, + maturity: datetime.date=None, value_date: pd.Timestamp=pd.Timestamp.today().normalize(), use_trunc=False): + + if all((redcode, maturity)): + r = (serenitas_engine. + execute("SELECT index, series, tenor FROM index_desc " + "WHERE redindexcode=%s AND maturity = %s", + (redcode, maturity))) + index_type, series, tenor = next(r) + self._index = BasketIndex(index_type, series, [tenor], value_date=value_date) |