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Market Data & Derivatives Pricing Tutorial based on Jupyter notebooks

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Erroneous deposit specification in bootstrapper

FuggeWolf opened this issue · comments

The method InstrumentSpec.get_deposit_spec in pyvacon.marketdata.bootstrapping.py should be replaced by

def get_deposit_spec(self):
    """
    Specification for deposits
    """
    
    # start date of the accrual period
    startDate = get_end_date(self.refDate,  self.spotLag)
    startDate_p = converter.getLTime(startDate)
    
    # end date of the accrual period
    endDate = get_end_date(startDate, self.maturity)
    endDate_p = converter.getLTime(endDate)
    
    # specification of the deposit
    deposit = analytics.DepositSpecification(self.label, 'dummy_issuer', enums.SecuritizationLevel.NONE,
                                    self.currency, self.refDate_p, startDate_p, endDate_p, 100, self.parRate, self.floatDayCount)
                                              
    return(deposit)
commented

wird durch pyriva ersetzt