diff options
Diffstat (limited to 'python/analytics/tranche_basket.py')
| -rw-r--r-- | python/analytics/tranche_basket.py | 5 |
1 files changed, 3 insertions, 2 deletions
diff --git a/python/analytics/tranche_basket.py b/python/analytics/tranche_basket.py index 1af4d4eb..6808220d 100644 --- a/python/analytics/tranche_basket.py +++ b/python/analytics/tranche_basket.py @@ -241,7 +241,7 @@ class DualCorrTranche(): return "\n".join(s) def shock(self, params=['pnl'], *, spread_shock, corr_shock, **kwargs): - orig_rho = self.rho + orig_rho = deepcopy(self.rho) r = [] actual_params = [p for p in params if hasattr(self, p)] orig_curves = self._index.curves @@ -249,7 +249,8 @@ class DualCorrTranche(): self._index.tweak_portfolio(ss, self.maturity, False) for corrs in corr_shock: #also need to map skew - self.rho = orig_rho * (1 + corrs) + for n, rho in enumerate(orig_rho): + self.rho[n] = rho + corrs if rho else rho r.append([getattr(self, p) for p in actual_params]) self._index.curves = orig_curves self.rho = orig_rho |