diff options
Diffstat (limited to 'python/analytics')
| -rw-r--r-- | python/analytics/credit_default_swap.py | 2 |
1 files changed, 1 insertions, 1 deletions
diff --git a/python/analytics/credit_default_swap.py b/python/analytics/credit_default_swap.py index e4998657..a6b3d65a 100644 --- a/python/analytics/credit_default_swap.py +++ b/python/analytics/credit_default_swap.py @@ -279,7 +279,7 @@ class CreditDefaultSwap: with warnings.catch_warnings(): warnings.simplefilter("ignore") self.value_date = self.value_date + relativedelta(days=1) - carry = self.notional * self.fixed_rate * 1e-4 / 360 + carry = -self.notional * self._factor * self.fixed_rate * 1e-4 / 360 roll_down = self.clean_pv - old_pv self.value_date = old_value_date return carry + roll_down |