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Diffstat (limited to 'python/analytics/tranche_functions.py')
| -rw-r--r-- | python/analytics/tranche_functions.py | 3 |
1 files changed, 3 insertions, 0 deletions
diff --git a/python/analytics/tranche_functions.py b/python/analytics/tranche_functions.py index ec097c3c..21c7b328 100644 --- a/python/analytics/tranche_functions.py +++ b/python/analytics/tranche_functions.py @@ -334,6 +334,9 @@ def credit_schedule(tradedate, tenor, coupon, yc, enddate=None): return pydates[0], pd.DataFrame({"df": df, "coupons": coupons}, dates[1:]) def cds_accrued(tradedate, coupon): + """ computes accrued for a standard CDS + + TODO: fix for when trade_date + 1 = IMM date""" tradedate = pydate_to_qldate(tradedate) end = tradedate + Period('3M') |