diff options
Diffstat (limited to 'python')
| -rw-r--r-- | python/analytics/tranche_functions.py | 10 |
1 files changed, 9 insertions, 1 deletions
diff --git a/python/analytics/tranche_functions.py b/python/analytics/tranche_functions.py index b72d4bba..9c00c9eb 100644 --- a/python/analytics/tranche_functions.py +++ b/python/analytics/tranche_functions.py @@ -452,8 +452,16 @@ def credit_schedule(tradedate, coupon, yc, enddate=None, tenor=None, rule=CDS201 cal = WeekendsOnly() DC = Actual360() start_date = tradedate + 1 + # if start_date falls on a week-end and is an imm date, our schedule is too short + # so use trade_date instead sched = Schedule.from_rule( - tradedate, enddate, Period("3M"), cal, ModifiedFollowing, Unadjusted, rule + tradedate if rule == CDS2015 else start_date, + enddate, + Period("3M"), + cal, + ModifiedFollowing, + Unadjusted, + rule, ) if sched[1] == start_date: # we need to skip one date sched = sched.after(start_date) |