diff options
Diffstat (limited to 'python')
| -rw-r--r-- | python/analytics/index.py | 6 |
1 files changed, 3 insertions, 3 deletions
diff --git a/python/analytics/index.py b/python/analytics/index.py index 4c921c38..86958c78 100644 --- a/python/analytics/index.py +++ b/python/analytics/index.py @@ -27,7 +27,7 @@ def g(index, spread, exercise_date, forward_yc = None): sc = SpreadCurve(exercise_date, forward_yc, index.start_date, step_in_date, exercise_date_settle, [index.end_date], np.array([spread * 1e-4]), - index.recovery) + np.zeros(1), np.array([index.recovery])) a = index._fee_leg.pv(exercise_date, step_in_date, exercise_date_settle, forward_yc, sc, True) return (spread - index.fixed_rate) * a *1e-4 @@ -92,8 +92,8 @@ class Index(object): def _update(self): self._sc = SpreadCurve(self.trade_date, self._yc, self.start_date, self._step_in_date, self._value_date, - [self.end_date], np.array([self._spread]), - self.recovery) + [self.end_date], np.array([self._spread]), np.zeros(1), + np.array([self.recovery])) self._risky_annuity = self._fee_leg.pv(self.trade_date, self._step_in_date, self._value_date, self._yc, self._sc, False) |