diff options
Diffstat (limited to 'python/analytics')
| -rw-r--r-- | python/analytics/tranche_functions.py | 5 |
1 files changed, 2 insertions, 3 deletions
diff --git a/python/analytics/tranche_functions.py b/python/analytics/tranche_functions.py index 24f06484..94bc7381 100644 --- a/python/analytics/tranche_functions.py +++ b/python/analytics/tranche_functions.py @@ -323,14 +323,13 @@ def credit_schedule(tradedate, tenor, coupon, yc, enddate=None): enddate = pydate_to_qldate(enddate) cal = WeekendsOnly() DC = Actual360() - sched = Schedule.from_rule(tradedate, enddate, Period('3M'), cal, + sched = Schedule.from_rule(tradedate + 1, enddate, Period('3M'), cal, ModifiedFollowing, Unadjusted, CDS2015) dates = sched.to_npdates() pydates = dates.astype('O') - df = [yc.discount_factor(d) for d in pydates if d > tradedate] + 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:]) def cds_accrued(tradedate, coupon): |