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 d0ebe2fb..9351f1dc 100644 --- a/python/analytics/credit_default_swap.py +++ b/python/analytics/credit_default_swap.py @@ -157,7 +157,7 @@ class CreditDefaultSwap(): @pv.setter def pv(self, val): - self._pv = val / (self.notional * self._factor) + self._pv = -val / (self.notional * self._factor) self._clean_pv = self._pv + self._accrued * self.fixed_rate * 1e-4 self.price = 100 * (1 - self._clean_pv) |