diff options
| -rw-r--r-- | python/risk/tranches.py | 2 |
1 files changed, 1 insertions, 1 deletions
diff --git a/python/risk/tranches.py b/python/risk/tranches.py index c497f61d..a0f33aa6 100644 --- a/python/risk/tranches.py +++ b/python/risk/tranches.py @@ -81,7 +81,7 @@ def insert_tranche_portfolio(portf, conn): theta = trade.theta(method="TLP") except ValueError: theta = ( - trade.pv / trade.notional / trade.duration + trade.clean_pv / trade.notional / trade.duration + trade.tranche_running * 1e-4 ) c.execute( |