diff options
| author | Guillaume Horel <guillaume.horel@gmail.com> | 2022-05-20 15:45:56 -0400 |
|---|---|---|
| committer | Guillaume Horel <guillaume.horel@gmail.com> | 2022-05-20 15:45:56 -0400 |
| commit | 94b0747c84ef50626e9dcc64e2fb89694df8dea2 (patch) | |
| tree | 648f8a82c56ab19b807e4be2aee31e2e88aef11c | |
| parent | 3b8ae529a29e26b2776558c1bcbd437aa1330453 (diff) | |
| download | pyisda-94b0747c84ef50626e9dcc64e2fb89694df8dea2.tar.gz | |
fix theta in case of defaulted name
| -rw-r--r-- | pyisda/credit_index.pxd | 1 | ||||
| -rw-r--r-- | pyisda/credit_index.pyx | 8 | ||||
| -rw-r--r-- | pyisda/curve.pyx | 2 |
3 files changed, 8 insertions, 3 deletions
diff --git a/pyisda/credit_index.pxd b/pyisda/credit_index.pxd index 12d405f..7722a9b 100644 --- a/pyisda/credit_index.pxd +++ b/pyisda/credit_index.pxd @@ -12,6 +12,7 @@ cdef class CurveList: cdef map[CurveName, size_t] names cdef vector[shared_ptr[double]] recovery_rates cdef vector[TDate] defaulted + cdef double defaulted_weight cdef class CreditIndex(CurveList): cdef TDate _start_date diff --git a/pyisda/credit_index.pyx b/pyisda/credit_index.pyx index 0951f35..2d63306 100644 --- a/pyisda/credit_index.pyx +++ b/pyisda/credit_index.pyx @@ -67,6 +67,7 @@ cdef class CurveList: i = 0 cdef int n_skipped = 0 cdef double total_weight = 0. + self.defaulted_weight = 0.0 for w, sc in curves: if sc is not None: it = self.names.find(deref(sc.name)) @@ -80,6 +81,8 @@ cdef class CurveList: else: self._weights[deref(it).second] += w total_weight += w + if sc.defaulted != -1: + self.defaulted_weight += w else: n_skipped += 1 @@ -194,6 +197,7 @@ cdef class CurveList: self._weights.clear() self.recovery_rates.clear() self.defaulted.clear() + self.defaulted_weight = 0.0 cdef TDate temp = self.base_date CurveList.__init__(self, l) self.base_date = temp @@ -429,11 +433,11 @@ cdef class CreditIndex(CurveList): if theta_date is None: JpmcdsMakeDateInterval(-1, b"Y", &ivl) JpmcdsDtFwdAny(maturity_c, &ivl, &temp) - carry = fixed_rate * 365 / 360 + carry = (1 - self.defaulted_weight) * fixed_rate * 365 / 360 else: theta_date_c = pydate_to_TDate(theta_date) temp = maturity_c - (theta_date_c - step_in_date_c) - carry = fixed_rate * (theta_date_c - step_in_date_c) / 360 + carry = (1 - self.defaulted_weight) * fixed_rate * (theta_date_c - step_in_date_c) / 360 if temp < step_in_date_c: return nan("") diff --git a/pyisda/curve.pyx b/pyisda/curve.pyx index 76dcd06..71b61b3 100644 --- a/pyisda/curve.pyx +++ b/pyisda/curve.pyx @@ -1,7 +1,7 @@ from cython.operator import dereference as deref, preincrement as preinc from libc.math cimport log1p, log, exp, isnan -from .date cimport (JpmcdsStringToDateInterval, pydate_to_TDate, dcc, TMonthDayYear, +from .date cimport (JpmcdsStringToDateInterval, pydate_to_TDate, dcc, JpmcdsDateIntervalToFreq, JpmcdsDateFwdThenAdjust, TDate_to_pydate, JpmcdsDateFromBusDaysOffset, JpmcdsStringToDayCountConv, ACT_360, BadDay, FOLLOW, MODIFIED, NONE) |