diff options
Diffstat (limited to 'python/analytics')
| -rw-r--r-- | python/analytics/basket_index.py | 24 |
1 files changed, 10 insertions, 14 deletions
diff --git a/python/analytics/basket_index.py b/python/analytics/basket_index.py index ef3df15d..4c08c157 100644 --- a/python/analytics/basket_index.py +++ b/python/analytics/basket_index.py @@ -154,13 +154,8 @@ class BasketIndex(CreditIndex): m, self.yc, coupon, epsilon)) return pd.Series(r, index=self.index_desc.tenor, name='pv') else: - if coupon is None: - try: - coupon = self.index_desc.coupon[maturity] - 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, coupon, epsilon) + self.yc, coupon or self.coupon(maturity), epsilon) def pv_vec(self): return super().pv_vec(self.step_in_date, self.cash_settle_date, self.yc).unstack(0) @@ -219,19 +214,20 @@ class BasketIndex(CreditIndex): self.yc, coupon, index_quote, theta_date)) return pd.Series(r, index=self.index_desc.tenor, name='theta') else: - if coupon is None: - try: - coupon = self.index_desc.coupon[maturity] - 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, coupon, np.nan, theta_date) + self.yc, coupon or self.coupon(maturity), np.nan, theta_date) - def coupon(self, maturity=None): + def coupon(self, maturity=None, assume_flat=True): if maturity is None: return self.index_desc.set_index('tenor').coupon else: - return self.index_desc.coupon[maturity] + try: + return self.index_desc.coupon[maturity] + except KeyError: + if assume_flat: + return self.index_desc.coupon.iat[0] + else: + raise ValueError("Non standard maturity: coupon must be provided") def tweak(self, *args): """ tweak the singlename curves to match index quotes""" |