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Diffstat (limited to 'python/analytics/basket_index.py')
| -rw-r--r-- | python/analytics/basket_index.py | 6 |
1 files changed, 4 insertions, 2 deletions
diff --git a/python/analytics/basket_index.py b/python/analytics/basket_index.py index 038ba20a..a5767a6b 100644 --- a/python/analytics/basket_index.py +++ b/python/analytics/basket_index.py @@ -178,11 +178,13 @@ class BasketIndex(CreditIndex): def spreads(self): return super().spreads(self.yc) - def dispersion(self, use_gini: bool = False, use_log: bool = True, exp_loss=False): + def dispersion( + self, use_gini: bool = False, use_log: bool = True, exp_loss: bool = False + ): if use_gini: if exp_loss: surv_prob, _ = self.survival_matrix() - disp = (1 - surv_prob) * np.vstack(1 - self.recovery_rates) + disp = (1 - np.ravel(surv_prob)) * (1 - self.recovery_rates) else: disp = self.spreads() w = self.weights |