diff options
Diffstat (limited to 'python/analytics')
| -rw-r--r-- | python/analytics/index.py | 9 |
1 files changed, 5 insertions, 4 deletions
diff --git a/python/analytics/index.py b/python/analytics/index.py index 10238fce..5fa1ed48 100644 --- a/python/analytics/index.py +++ b/python/analytics/index.py @@ -22,20 +22,21 @@ from bbg_helpers import BBG_IP, retrieve_data, init_bbg_session engine = dbengine('serenitasdb') -def g(index, spread, exercise_date, forward_yc=None, pv=0.): +def g(index, spread, exercise_date, forward_yc=None, pv=None): """computes the strike clean price using the expected forward yield curve. """ if forward_yc is None: forward_yc = index._yc step_in_date = exercise_date + datetime.timedelta(days=1) - exercise_date_settle = pd.Timestamp(exercise_date) + 3* BDay() + exercise_date_settle = pd.Timestamp(exercise_date) + 3 * BDay() rates = array.array('d', [spread * 1e-4]) + upfront = 0. if pv is None else pv sc = SpreadCurve(exercise_date, forward_yc, index.start_date, step_in_date, exercise_date_settle, - [index.end_date], rates, array.array('d',[pv]), + [index.end_date], rates, array.array('d', [upfront]), array.array('d', [index.recovery])) a = index._fee_leg.pv(exercise_date, step_in_date, exercise_date_settle, forward_yc, sc, True) - if pv != 0.: + if pv is not None: return 1e4 * pv / a + spread else: return (spread - index.fixed_rate) * a * 1e-4 |