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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 930a5a2a..b7727068 100644 --- a/python/analytics/tranche_basket.py +++ b/python/analytics/tranche_basket.py @@ -251,7 +251,7 @@ class DualCorrTranche(): @property def pv(self): pl, cl = self._pv() - return -self.notional * (pl + cl) + return -self.notional * self.tranche_factor * (pl + cl) @property def clean_pv(self): |