diff options
| -rw-r--r-- | python/analytics/tranche_basket.py | 4 |
1 files changed, 2 insertions, 2 deletions
diff --git a/python/analytics/tranche_basket.py b/python/analytics/tranche_basket.py index 9ce787f2..1812e936 100644 --- a/python/analytics/tranche_basket.py +++ b/python/analytics/tranche_basket.py @@ -935,7 +935,7 @@ class TrancheBasket(BasketIndex): bp = 1 + pl + cl - self._accrued return self._Legs(cl, pl, bp) - def index_pv(self, discounted=True, shortened=0, zero_recovery=True): + def index_pv(self, discounted=True, shortened=0, zero_recovery=False): if shortened > 0: DP = self.default_prob.values[:, -shortened] df = self.cs.df.values[:-shortened] @@ -1073,7 +1073,7 @@ class TrancheBasket(BasketIndex): indexbp = np.empty(len(index_list)) for i, index in enumerate(index_list): - indexbp[i] = index.index_pv().bond_price + indexbp[i] = index.index_pv(zero_recovery=zero_recovery).bond_price bp[i] = index.tranche_pvs(zero_recovery=zero_recovery).bond_price factor = self.tranche_factors() / self.factor |