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Diffstat (limited to 'python/analytics/tranche_basket.py')
| -rw-r--r-- | python/analytics/tranche_basket.py | 2 |
1 files changed, 1 insertions, 1 deletions
diff --git a/python/analytics/tranche_basket.py b/python/analytics/tranche_basket.py index 646cbb41..4dc0bf81 100644 --- a/python/analytics/tranche_basket.py +++ b/python/analytics/tranche_basket.py @@ -1064,7 +1064,7 @@ class TrancheBasket(BasketIndex): self._cumloss = orig_cumloss + L self._factor = orig_factor * (1 - weight) self.K = adjust_attachments(self.K_orig, self.cumloss, self.factor) - Korig_eq = self.K[1:1] / self.expected_loss() + Korig_eq = self.K[1:-1] / self.expected_loss() self.rho = np.hstack([np.nan, expit(self._skew(np.log(Korig_eq))), np.nan]) upfs = ( self.tranche_factors() |