diff options
Diffstat (limited to 'python')
| -rw-r--r-- | python/analytics/tranche_basket.py | 10 |
1 files changed, 9 insertions, 1 deletions
diff --git a/python/analytics/tranche_basket.py b/python/analytics/tranche_basket.py index 3dfc6cc7..abc91bd7 100644 --- a/python/analytics/tranche_basket.py +++ b/python/analytics/tranche_basket.py @@ -882,12 +882,13 @@ class TrancheBasket(BasketIndex): tenor: str, *, value_date: pd.Timestamp = pd.Timestamp.today().normalize(), + **kwargs, ): super().__init__(index_type, series, [tenor], value_date=value_date) self.tenor = tenor self.maturity = self.index_desc[0][1] try: - self._set_tranche_quotes(value_date) + self._set_tranche_quotes(value_date, **kwargs) except ValueError as e: raise ValueError( f"no tranche quotes available for date {value_date}" @@ -1419,3 +1420,10 @@ class MarkitTrancheBasket(TrancheBasket): [cds_accrued(self.value_date, r) for r in self.tranche_quotes.running] ) self.tranche_quotes.quotes -= self._accrued + + +class ManualTrancheBasket(TrancheBasket): + """TrancheBasket with quotes manually provided""" + + def _set_tranche_quotes(self, value_date, tranche_quotes): + self.tranche_quotes = tranche_quotes |