diff options
Diffstat (limited to 'python/analytics/tranche_basket.py')
| -rw-r--r-- | python/analytics/tranche_basket.py | 3 |
1 files changed, 1 insertions, 2 deletions
diff --git a/python/analytics/tranche_basket.py b/python/analytics/tranche_basket.py index e28a356c..ba8ce313 100644 --- a/python/analytics/tranche_basket.py +++ b/python/analytics/tranche_basket.py @@ -44,7 +44,7 @@ class DualCorrTranche(): self.attach, self.detach = attach, detach self.K = adjust_attachments(self.K_orig, self._index.cumloss, self._index.factor) self._Ngh = 250 - self._Ngrid = 201 + self._Ngrid = 301 self._Z, self._w = GHquad(self._Ngh) self.rho = np.array([corr_attach, corr_detach]) self.tranche_running = tranche_running @@ -270,7 +270,6 @@ class DualCorrTranche(): def _greek_calc(self): eps = 1e-4 - self._Ngrid = 301 indexbp = [self._index.pv(self.maturity)] bp = [self.pv] for tweak in [eps, -eps, 2*eps]: |