diff options
Diffstat (limited to 'python/analytics')
| -rw-r--r-- | python/analytics/index.py | 22 |
1 files changed, 15 insertions, 7 deletions
diff --git a/python/analytics/index.py b/python/analytics/index.py index 1ff01b8b..b624cbfb 100644 --- a/python/analytics/index.py +++ b/python/analytics/index.py @@ -176,13 +176,18 @@ class Index(): def IRDV01(self): old_pv = self.pv old_yc = self._yc - for rh in self._helpers: + # for rh in self._helpers: + # rh.quote += 1e-4 + # self._yc = ql_to_jp(self._ql_yc) + helpers = rate_helpers(self.currency) + for rh in helpers: rh.quote += 1e-4 - self._yc = ql_to_jp(self._ql_yc) + ql_yc = YC(helpers) + self._yc = ql_to_jp(ql_yc) self._update() ## to force recomputation new_pv = self.pv - for r in self._helpers: - r.quote -= 1e-4 + # for r in self._helpers: + # r.quote -= 1e-4 self._yc = old_yc self._update() return new_pv - old_pv @@ -221,9 +226,12 @@ class Index(): settings = Settings() settings.evaluation_date = Date.from_datetime(d) self.start_date = previous_twentieth(d) - self._helpers = rate_helpers(self.currency) - self._ql_yc = YC(self._helpers) - self._yc = ql_to_jp(self._ql_yc) + # self._helpers = rate_helpers(self.currency) + # self._ql_yc = YC(self._helpers) + # self._yc = ql_to_jp(self._ql_yc) + helpers = rate_helpers(self.currency) + ql_yc = YC(helpers) + self._yc = ql_to_jp(ql_yc) self._trade_date = d self._step_in_date = self.trade_date + datetime.timedelta(days=1) self._accrued = self._fee_leg.accrued(self._step_in_date) |