diff options
Diffstat (limited to 'python/analytics')
| -rw-r--r-- | python/analytics/tranche_basket.py | 14 |
1 files changed, 13 insertions, 1 deletions
diff --git a/python/analytics/tranche_basket.py b/python/analytics/tranche_basket.py index 93cf32cc..b1c03702 100644 --- a/python/analytics/tranche_basket.py +++ b/python/analytics/tranche_basket.py @@ -8,7 +8,7 @@ from copy import deepcopy from pyisda.cdsone import upfront_charge from pandas.tseries.offsets import BDay from scipy.optimize import brentq -from scipy.interpolate import CubicSpline +from scipy.interpolate import CubicSpline, PchipInterpolator from scipy.special import logit, expit import concurrent.futures import pandas as pd @@ -166,6 +166,18 @@ class TrancheBasket(BasketIndex): self._Z, self._w, self._Ngrid) return - np.dot(np.diff(np.hstack((K, ELt))), self.cs.df) + def probability_trunc(self, K, rho=None): + if rho is None: + rho = expit(self._skew(logit(K))) + L, _ = BCloss_recov_dist(self.default_prob.values[:,-1,np.newaxis], + self.weights, + self.recovery_rates, + rho, + self._Z, self._w, self._Ngrid) + p = np.cumsum(L) + support = np.linspace(0, 1, self._Ngrid) + probfun = PchipInterpolator(support, p) + return probfun(K) @property def recovery_rates(self): |