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Diffstat (limited to 'python/analytics/tranche_basket.py')
| -rw-r--r-- | python/analytics/tranche_basket.py | 8 |
1 files changed, 8 insertions, 0 deletions
diff --git a/python/analytics/tranche_basket.py b/python/analytics/tranche_basket.py index b17c6baf..1e41cec9 100644 --- a/python/analytics/tranche_basket.py +++ b/python/analytics/tranche_basket.py @@ -424,6 +424,14 @@ class DualCorrTranche: self.rho[1], r = brentq(aux, 0, 1, full_output=True) print(r.converged) + @pv.setter + def pv(self, val): + def aux(rho): + self.rho[1] = rho + return self.pv - val + + self.rho[1], r = brentq(aux, 0.0, 1.0, full_output=True) + def reset_pv(self): with run_local(): _pv = self.clean_pv |