diff options
Diffstat (limited to 'python/analytics')
| -rw-r--r-- | python/analytics/tranche_basket.py | 17 |
1 files changed, 17 insertions, 0 deletions
diff --git a/python/analytics/tranche_basket.py b/python/analytics/tranche_basket.py index ba8ce313..7608858d 100644 --- a/python/analytics/tranche_basket.py +++ b/python/analytics/tranche_basket.py @@ -131,6 +131,23 @@ class DualCorrTranche(): return Legs(tranche_cl(L, R, self.cs, 0., K), tranche_pl(L, self.cs, 0., K)) + def index_pv(self, epsilon=0., discounted=True): + DP = self._default_prob(epsilon).values + df = self.cs.df.values + coupons = self.cs.coupons + ELvec = self.weights * (1 - self.recovery_rates) @ DP + size = 1 - self.weights @ DP + sizeadj = 0.5 * (np.hstack((1., size[:-1])) + size) + if not discounted: + pl = - ELvec[-1] + cl = coupons @ sizeadj + else: + pl = - np.diff(np.hstack((0., ELvec))) @ df + cl = coupons @ (sizeadj * df) + bp = 1 + cl * self.coupon(self.maturity) + pl + Pvs = namedtuple('IndexPvs', 'coupon_leg, protection_leg, bond_price') + return Pvs(cl, pl, bp) + @property def direction(self): if self._direction == -1.: |