diff options
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 3bc5b104..9f535368 100644 --- a/python/analytics/tranche_basket.py +++ b/python/analytics/tranche_basket.py @@ -21,7 +21,7 @@ class TrancheBasket(BasketIndex): self.tranche_quotes = get_tranche_quotes(index_type, series, tenor, trade_date.date()) index_desc = self.index_desc.reset_index('maturity').set_index('tenor') self.maturity = index_desc.loc[tenor].maturity - self.start_date, self.cs = credit_schedule(trade_date, tenor[:-1], 1, self.yc) + self.start_date, self.cs = credit_schedule(trade_date, tenor[:-1], 1, self.yc, self.maturity) self.K_orig = np.hstack((0., self.tranche_quotes.detach)) / 100 self.K = adjust_attachments(self.K_orig, self.cumloss, self.factor) if index_type == "HY": |