diff options
| -rw-r--r-- | python/analytics/tranche_basket.py | 1 |
1 files changed, 1 insertions, 0 deletions
diff --git a/python/analytics/tranche_basket.py b/python/analytics/tranche_basket.py index 5f19451b..0d546352 100644 --- a/python/analytics/tranche_basket.py +++ b/python/analytics/tranche_basket.py @@ -730,6 +730,7 @@ class DualCorrTranche: * float(self._index.duration()) * self._index.factor / ontr.risky_annuity + * self._index._fx ) if self.index_type not in ("HY", "BS"): risk *= analytics._beta[self.index_type] |