diff options
Diffstat (limited to 'python/analytics/tranche_functions.py')
| -rw-r--r-- | python/analytics/tranche_functions.py | 2 |
1 files changed, 1 insertions, 1 deletions
diff --git a/python/analytics/tranche_functions.py b/python/analytics/tranche_functions.py index 7910a1d0..ec097c3c 100644 --- a/python/analytics/tranche_functions.py +++ b/python/analytics/tranche_functions.py @@ -341,7 +341,7 @@ def cds_accrued(tradedate, coupon): DC = Actual360() cal = WeekendsOnly() sched = Schedule(tradedate, end, Period('3M'), cal, date_generation_rule=CDS2015) - prevpaydate = sched.previous_date(tradedate) + prevpaydate = sched.previous_date(start_protection) return DC.year_fraction(prevpaydate, start_protection) * coupon def dist_transform(q): |