diff options
| -rw-r--r-- | python/analytics/tranche_basket.py | 7 |
1 files changed, 1 insertions, 6 deletions
diff --git a/python/analytics/tranche_basket.py b/python/analytics/tranche_basket.py index 6ee49580..8d69edb1 100644 --- a/python/analytics/tranche_basket.py +++ b/python/analytics/tranche_basket.py @@ -1289,12 +1289,7 @@ class TrancheBasket(BasketIndex): return corr01 def implied_ss(self): - return ( - self.index_pv(clean=True).bond_price - - np.diff(self.K)[0] * self.tranche_pvs().bond_price[0] - - np.diff(self.K)[1] * self.tranche_pvs().bond_price[1] - - np.diff(self.K)[2] * self.tranche_pvs().bond_price[2] - ) / np.diff(self.K)[3] + return self.tranche_pvs().bond_price[-1] def build_skew(self, skew_type="bottomup"): assert skew_type == "bottomup" or skew_type == "topdown" |