diff options
Diffstat (limited to 'python/analytics/tranche_functions.py')
| -rw-r--r-- | python/analytics/tranche_functions.py | 4 |
1 files changed, 3 insertions, 1 deletions
diff --git a/python/analytics/tranche_functions.py b/python/analytics/tranche_functions.py index 94bc7381..16661b41 100644 --- a/python/analytics/tranche_functions.py +++ b/python/analytics/tranche_functions.py @@ -315,6 +315,7 @@ def tranche_pl(L, cs, K1, K2, scaled=False): def tranche_pv(L, R, cs, K1, K2): return tranche_pl(L, cs, K1, K2) + tranche_cl(L, R, cs, K2, K2) + def credit_schedule(tradedate, tenor, coupon, yc, enddate=None): tradedate = pydate_to_qldate(tradedate) if enddate is None: @@ -330,7 +331,8 @@ def credit_schedule(tradedate, tenor, coupon, yc, enddate=None): df = [yc.discount_factor(d) for d in pydates if d > tradedate + 1] coupons = [DC.year_fraction(d1, d2) * coupon for d1, d2 in zip(sched[:-2], sched[1:-1])] coupons.append(Actual360(True).year_fraction(sched[-2], sched[-1]) * coupon) - return pydates[0], pd.DataFrame({"df": df, "coupons": coupons}, dates[1:]) + return pd.DataFrame({"df": df, "coupons": coupons}, dates[1:]) + def cds_accrued(tradedate, coupon): """ computes accrued for a standard CDS |