diff options
Diffstat (limited to 'python/analytics')
| -rw-r--r-- | python/analytics/basket_index.py | 3 | ||||
| -rw-r--r-- | python/analytics/tranche_basket.py | 16 |
2 files changed, 12 insertions, 7 deletions
diff --git a/python/analytics/basket_index.py b/python/analytics/basket_index.py index fd245a2a..7ea2c053 100644 --- a/python/analytics/basket_index.py +++ b/python/analytics/basket_index.py @@ -211,9 +211,6 @@ class BasketIndex(CreditIndex): def coupon_leg(self, maturity=None): return self.index_desc.coupon.values * self.duration() - def protection_leg(self, maturity=None): - return self.pv() + self.coupon_leg() - def spread(self, maturity=None): return self.protection_leg(maturity) / self.duration(maturity) * 1e4 diff --git a/python/analytics/tranche_basket.py b/python/analytics/tranche_basket.py index 7742b5d5..c0145ecc 100644 --- a/python/analytics/tranche_basket.py +++ b/python/analytics/tranche_basket.py @@ -833,7 +833,7 @@ class TrancheBasket(BasketIndex): ) return pd.DataFrame(1 - sm, index=tickers, columns=self.cs.index) - def tranche_legs(self, K, rho, complement=False, shortened=0): + def tranche_legs(self, K, rho, complement=False, shortened=0, zero_recovery=False): if (K == 0.0 and not complement) or (K == 1.0 and complement): return 0.0, 0.0 elif (K == 1.0 and not complement) or (K == 0.0 and complement): @@ -847,10 +847,14 @@ class TrancheBasket(BasketIndex): else: default_prob = self.default_prob.values cs = self.cs + if zero_recovery: + recovery_rates = np.zeros(self.weights.size) + else: + recovery_rates = self.recovery_rates L, R = BCloss_recov_dist( default_prob, self.weights, - self.recovery_rates, + recovery_rates, rho, self._Z, self._w, @@ -895,7 +899,9 @@ class TrancheBasket(BasketIndex): r = r - orig_upfs return pd.DataFrame(r, index=tickers, columns=self._row_names) - def tranche_pvs(self, protection=False, complement=False, shortened=0): + def tranche_pvs( + self, protection=False, complement=False, shortened=0, zero_recovery=False + ): """ computes coupon leg, protection leg and bond price. coupon leg is *dirty*. @@ -904,7 +910,9 @@ class TrancheBasket(BasketIndex): pl = np.zeros(self.rho.size) i = 0 for rho, k in zip(self.rho, self.K): - cl[i], pl[i] = self.tranche_legs(k, rho, complement, shortened) + cl[i], pl[i] = self.tranche_legs( + k, rho, complement, shortened, zero_recovery + ) i += 1 dK = np.diff(self.K) pl = np.diff(pl) / dK |