diff options
Diffstat (limited to 'python/analytics')
| -rw-r--r-- | python/analytics/basket_index.py | 13 |
1 files changed, 4 insertions, 9 deletions
diff --git a/python/analytics/basket_index.py b/python/analytics/basket_index.py index 22b48b71..f835cd61 100644 --- a/python/analytics/basket_index.py +++ b/python/analytics/basket_index.py @@ -122,9 +122,7 @@ class BasketIndex(CreditIndex): for m in self.maturities: coupon = self.index_desc.coupon[m] r.append(super().pv(self.step_in_date, self.cash_settle_date, - m, self.yc, self.recovery, - coupon, - epsilon)) + m, self.yc, coupon, epsilon)) return pd.Series(r, index=self.index_desc.tenor, name='pv') else: if coupon is None: @@ -133,8 +131,7 @@ class BasketIndex(CreditIndex): except KeyError: raise ValueError("Non standard maturity: coupon must be provided") return super().pv(self.step_in_date, self.cash_settle_date, maturity, - self.yc, self.recovery, coupon, - epsilon) + self.yc, coupon, epsilon) def coupon_leg(self, maturity=None): return self.index_desc.coupon.values * self.duration() @@ -180,8 +177,7 @@ class BasketIndex(CreditIndex): coupon = self.index_desc.coupon[m] index_quote = np.nan if index_quotes is None else index_quotes[m] r.append(super().theta(self.step_in_date, self.cash_settle_date, m, - self.yc, self.recovery, coupon, - index_quote, theta_date)) + self.yc, coupon, index_quote, theta_date)) return pd.Series(r, index=self.index_desc.tenor, name='theta') else: if coupon is None: @@ -190,8 +186,7 @@ class BasketIndex(CreditIndex): except KeyError: raise ValueError("Non standard maturity: coupon must be provided") return super().theta(self.step_in_date, self.cash_settle_date, maturity, - self.yc, self.recovery, coupon, - np.nan, theta_date) + self.yc, coupon, np.nan, theta_date) def coupon(self, maturity=None): if maturity is None: |