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 2c35453a..876781cb 100644 --- a/python/analytics/tranche_basket.py +++ b/python/analytics/tranche_basket.py @@ -372,6 +372,7 @@ class TrancheBasket(BasketIndex): BasketIndex.value_date.__set__(self, d) self.cs = credit_schedule(d, self.tenor[:-1], 1, self.yc, self.maturity) + self.K = adjust_attachments(self.K_orig, self.cumloss, self.factor) try: self._get_tranche_quotes(d) self._accrued = np.array([cds_accrued(self.value_date, r) |