diff options
Diffstat (limited to 'python/analytics')
| -rw-r--r-- | python/analytics/index.py | 8 |
1 files changed, 4 insertions, 4 deletions
diff --git a/python/analytics/index.py b/python/analytics/index.py index b624cbfb..34f8d47d 100644 --- a/python/analytics/index.py +++ b/python/analytics/index.py @@ -326,13 +326,13 @@ class ForwardIndex(Index): a = index._fee_leg.pv(index.trade_date, step_in_date, index.trade_date, index._yc, index._sc, False) Delta = index._fee_leg.accrued(step_in_date) - df = index._yc.discount_factor(self.exercise_date_settle) + self.df = index._yc.discount_factor(self.exercise_date_settle) q = index._sc.survival_probability(forward_date) - self._forward_annuity = a - Delta * df * q + self._forward_annuity = a - Delta * self.df * q self._forward_pv = self._forward_annuity * (index.spread - index.fixed_rate) * 1e-4 fep = (1 - index.recovery) * (1 - q) - self._forward_pv = self._forward_pv /df + fep - self._forward_spread = index._spread + fep * df / self._forward_annuity + self._forward_pv = self._forward_pv / self.df + fep + self._forward_spread = index._spread + fep * self.df / self._forward_annuity @property def forward_annuity(self): |