diff options
Diffstat (limited to 'python')
| -rw-r--r-- | python/analytics/tranche_basket.py | 15 | ||||
| -rw-r--r-- | python/calibrate_tranches_BC.py | 2 |
2 files changed, 12 insertions, 5 deletions
diff --git a/python/analytics/tranche_basket.py b/python/analytics/tranche_basket.py index 0bdf9354..8b9d6e5f 100644 --- a/python/analytics/tranche_basket.py +++ b/python/analytics/tranche_basket.py @@ -353,7 +353,7 @@ class DualCorrTranche: bp = 1 + cl * self.tranche_running * 1e-4 + pl return self._Legs(cl, pl, bp) - def index_pv(self, epsilon=0.0, discounted=True): + def index_pv(self, epsilon=0.0, discounted=True, clean=False): DP = self._default_prob(epsilon) df = self.cs.df.values coupons = self.cs.coupons @@ -367,6 +367,10 @@ class DualCorrTranche: pl = -np.diff(np.hstack((0.0, ELvec))) @ df cl = coupons @ (sizeadj * df) bp = 1 + cl * self._index.coupon(self.maturity) + pl + if clean: + accrued = self._index.accrued(self.maturity) + bp -= accrued + cl -= accrued / self._index.coupon(self.maturity) return self._Legs(cl, pl, bp) @property @@ -864,8 +868,7 @@ class TrancheBasket(BasketIndex): ): super().__init__(index_type, series, [tenor], value_date=value_date) self.tenor = tenor - index_desc = self.index_desc.reset_index("maturity").set_index("tenor") - self.maturity = index_desc.loc[tenor, "maturity"].date() + self.maturity = self.index_desc[0].maturity try: self._set_tranche_quotes(value_date) except ValueError as e: @@ -1095,7 +1098,7 @@ class TrancheBasket(BasketIndex): bp = 1 + pl + cl - self._accrued return self._Legs(cl, pl, bp) - def index_pv(self, discounted=True, shortened=0, zero_recovery=False): + def index_pv(self, discounted=True, shortened=0, zero_recovery=False, clean=False): cs, DP = self._default_prob(shortened) df = cs.df.values coupons = cs.coupons.values @@ -1112,6 +1115,10 @@ class TrancheBasket(BasketIndex): pl = -np.diff(np.hstack((0.0, ELvec))) @ df cl = coupons @ (sizeadj * df) bp = 1 + cl * self.coupon(self.maturity) + pl + if clean: + accrued = self.accrued() + cl -= accrued / self.coupon(self.maturity) + bp -= self.accrued(self.maturity) return self._Legs(cl, pl, bp) def expected_loss(self, discounted=True, shortened=0): diff --git a/python/calibrate_tranches_BC.py b/python/calibrate_tranches_BC.py index 47b08e49..6e405e9d 100644 --- a/python/calibrate_tranches_BC.py +++ b/python/calibrate_tranches_BC.py @@ -199,7 +199,7 @@ if __name__ == "__main__": df["index_duration"], df["index_expected_loss"], df["index_price"], - ) = tranche_index.index_pv() + ) = tranche_index.index_pv(clean=True) df["index_expected_loss"] *= -1 df["index_duration"] -= tranche_index.accrued() df["index_basis"] = tranche_index.tweaks[0] |