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Diffstat (limited to 'python')
| -rw-r--r-- | python/analytics/tranche_basket.py | 15 |
1 files changed, 15 insertions, 0 deletions
diff --git a/python/analytics/tranche_basket.py b/python/analytics/tranche_basket.py index a2d1d67f..5b8cd375 100644 --- a/python/analytics/tranche_basket.py +++ b/python/analytics/tranche_basket.py @@ -226,6 +226,21 @@ class DualCorrTranche(): self._original_clean_pv = self.clean_pv self._trade_date = self.value_date + def singlename_spreads(self): + d = {} + for k, w, c in self._index.items(): + recov = c.recovery_rates[0] + d[(k[0], k[1].name, k[2].name)] = \ + (w, c.par_spread(self.value_date, self._index.step_in_date, + self._index.start_date, [self.maturity], + c.recovery_rates[0:1], self._index.yc)[0], recov) + df = pd.DataFrame.from_dict(d).T + df.columns = ['weight', 'spread', 'recovery'] + df.index.names = ['ticker', 'seniority', 'doc_clause'] + df.spread *= 10000 + return df + + @property def pnl(self): if self._original_clean_pv is None: |