diff options
Diffstat (limited to 'python/analytics')
| -rw-r--r-- | python/analytics/basket_index.py | 8 |
1 files changed, 4 insertions, 4 deletions
diff --git a/python/analytics/basket_index.py b/python/analytics/basket_index.py index de65d5cc..bcf3d17c 100644 --- a/python/analytics/basket_index.py +++ b/python/analytics/basket_index.py @@ -138,8 +138,8 @@ class BasketIndex(CreditIndex): coupon = self.index_desc.coupon[maturity] except KeyError: raise ValueError("Non standard maturity: coupon must be provided") - return CreditIndex.pv(self, self.step_in_date, self.cash_settle_date, - maturity, self.yc, coupon, epsilon) + return super().pv(self.step_in_date, self.cash_settle_date, maturity, + self.yc, coupon, epsilon) def coupon_leg(self, maturity=None): return self.index_desc.coupon.values * self.duration() @@ -149,10 +149,10 @@ class BasketIndex(CreditIndex): def spread(self, maturity=None, coupon=None): if maturity is None: - return (self.index_desc.coupon.values + BasketIndex.pv(self) / + return (self.index_desc.coupon.values + self.pv() / self.duration()) * 1e4 else: - return (coupon + BasketIndex.pv(self, maturity, coupon=coupon) / + return (coupon + self.pv(maturity, coupon=coupon) / self.duration(maturity)) * 1e4 def duration(self, maturity=None): |