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Diffstat (limited to 'python/analytics/basket_index.py')
| -rw-r--r-- | python/analytics/basket_index.py | 2 |
1 files changed, 1 insertions, 1 deletions
diff --git a/python/analytics/basket_index.py b/python/analytics/basket_index.py index 3b2122c5..b218ed3a 100644 --- a/python/analytics/basket_index.py +++ b/python/analytics/basket_index.py @@ -436,7 +436,7 @@ class BasketIndex(CreditIndex): recov, ) - def jump_to_default(self): + def jtd_single_names(self): pvs = self.pv_vec().swaplevel(axis=1) pvs = pvs.protection_pv - pvs.duration * np.array(self.coupons) return -self.weights[:, None] * (self.recovery_rates[:, None] + pvs - 1) |