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Diffstat (limited to 'python/analytics/tranche_basket.py')
| -rw-r--r-- | python/analytics/tranche_basket.py | 4 |
1 files changed, 2 insertions, 2 deletions
diff --git a/python/analytics/tranche_basket.py b/python/analytics/tranche_basket.py index fccede63..3dfc6cc7 100644 --- a/python/analytics/tranche_basket.py +++ b/python/analytics/tranche_basket.py @@ -702,8 +702,8 @@ class DualCorrTranche: loss = ( np.diff(np.clip(self.K, None, L)) / np.diff(self.K_orig) * orig_factor ) - upf += float(loss) - r.append(self.notional * weight * (upf - orig_upf) / 100) + upf += float(loss) * 100 + r.append(self.notional * (upf - orig_upf) / 100) tickers.append(curve.ticker) self._index._factor, self._index._cumloss = orig_factor, orig_cumloss self.K = adjust_attachments( |