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| author | Guillaume Horel <guillaume.horel@gmail.com> | 2020-06-30 20:56:36 -0400 |
|---|---|---|
| committer | Guillaume Horel <guillaume.horel@gmail.com> | 2020-06-30 20:56:36 -0400 |
| commit | 03d2c41f8dec4ebc99ab44d28719e276d41694e4 (patch) | |
| tree | 5f8298063ae8c051974a5201ceaab948b0b05231 | |
| parent | 9f9bb410476298f1bcd4af3405eb88c98be7b92f (diff) | |
| download | pyisda-03d2c41f8dec4ebc99ab44d28719e276d41694e4.tar.gz | |
allow to pass the fixed_rate in accrued
| -rw-r--r-- | pyisda/credit_index.pyx | 4 |
1 files changed, 2 insertions, 2 deletions
diff --git a/pyisda/credit_index.pyx b/pyisda/credit_index.pyx index 83c377e..f06d27b 100644 --- a/pyisda/credit_index.pyx +++ b/pyisda/credit_index.pyx @@ -378,10 +378,10 @@ cdef class CreditIndex(CurveList): index=tickers)], keys=['duration', 'protection_pv']) - def accrued(self): + def accrued(self, double fixed_rate): cdef double accrued FeeLegAI(self.fee_legs[0], self.base_date + 1, &accrued) - return accrued + return accrued * fixed_rate def pv(self, step_in_date, cash_settle_date, maturity, YieldCurve yc not None, double fixed_rate, double epsilon=0.): |