diff options
Diffstat (limited to 'python/populate_tranche_cashflows.py')
| -rw-r--r-- | python/populate_tranche_cashflows.py | 10 |
1 files changed, 8 insertions, 2 deletions
diff --git a/python/populate_tranche_cashflows.py b/python/populate_tranche_cashflows.py index 80a32eec..99080597 100644 --- a/python/populate_tranche_cashflows.py +++ b/python/populate_tranche_cashflows.py @@ -36,8 +36,14 @@ def insert_tranche_cashflows( for r in c: direction = 1.0 if r.protection == "Buyer" else -1.0 notional = r.notional / (r.orig_detach - r.orig_attach) - accrued = -direction * severity * acc * r.coupon_rate / 360 * notional - principal = direction * notional * severity + if r.orig_detach == 100: + accrued = ( + -direction * (1 - severity) * acc * r.coupon_rate / 360 * notional + ) + principal = 0 + else: + accrued = -direction * severity * acc * r.coupon_rate / 360 * notional + principal = direction * notional * severity data.append([r.id, principal, accrued]) with dawndb.cursor() as c: |