diff options
Diffstat (limited to 'python')
| -rw-r--r-- | python/analytics/index.py | 17 |
1 files changed, 11 insertions, 6 deletions
diff --git a/python/analytics/index.py b/python/analytics/index.py index 794b29b1..bc4f9299 100644 --- a/python/analytics/index.py +++ b/python/analytics/index.py @@ -1,4 +1,5 @@ from __future__ import division +import array import datetime import math import numpy as np @@ -18,19 +19,23 @@ from yieldcurve import YC, ql_to_jp, roll_yc, rate_helpers engine = dbengine('serenitasdb') -def g(index, spread, exercise_date, forward_yc = None): - """computes the strike clean price using the expected forward yield curve """ +def g(index, spread, exercise_date, forward_yc=None, pv=0.): + """computes the strike clean price using the expected forward yield curve. """ if forward_yc is None: forward_yc = index._yc step_in_date = exercise_date + datetime.timedelta(days=1) exercise_date_settle = (pd.Timestamp(exercise_date) + 3* BDay()).date() + rates = array.array('d', [spread * 1e-4]) sc = SpreadCurve(exercise_date, forward_yc, index.start_date, step_in_date, exercise_date_settle, - [index.end_date], np.array([spread * 1e-4]), - np.zeros(1), np.array([index.recovery])) + [index.end_date], rates, array.array('d',[pv]), + array.array('d', [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 + forward_yc, sc, True) + if pv != 0.: + return 1e4 * pv / a + spread + else: + return (spread - index.fixed_rate) * a *1e-4 class Index(object): """ minimal class to represent a credit index """ |