diff options
Diffstat (limited to 'python')
| -rw-r--r-- | python/analytics/basket_index.py | 4 | ||||
| -rw-r--r-- | python/analytics/tranche_basket.py | 4 |
2 files changed, 4 insertions, 4 deletions
diff --git a/python/analytics/basket_index.py b/python/analytics/basket_index.py index 0398a6f6..bcf3d17c 100644 --- a/python/analytics/basket_index.py +++ b/python/analytics/basket_index.py @@ -120,6 +120,10 @@ class BasketIndex(CreditIndex): self.cash_settle_date = d + 3 * BDay() CreditIndex.value_date.__set__(self, d) + @property + def recovery_rates(self): + return np.array([c.recovery_rates[0] for c in self.curves]) + def pv(self, maturity=None, epsilon=0., coupon=None): if maturity is None: r = [] diff --git a/python/analytics/tranche_basket.py b/python/analytics/tranche_basket.py index 4b3e90f0..4b6491ea 100644 --- a/python/analytics/tranche_basket.py +++ b/python/analytics/tranche_basket.py @@ -325,10 +325,6 @@ class TrancheBasket(BasketIndex): probfun = PchipInterpolator(support, p) return probfun(K) - @property - def recovery_rates(self): - return np.array([c.recovery_rates[0] for c in self.curves]) - def tranche_durations(self, complement=False): cl = self.tranche_pvs(complement=complement).coupon_leg durations = (cl - self._accrued) / self.tranche_quotes.running |