diff options
Diffstat (limited to 'python/analytics/tranche_basket.py')
| -rw-r--r-- | python/analytics/tranche_basket.py | 14 |
1 files changed, 7 insertions, 7 deletions
diff --git a/python/analytics/tranche_basket.py b/python/analytics/tranche_basket.py index e62130b4..d5398ffd 100644 --- a/python/analytics/tranche_basket.py +++ b/python/analytics/tranche_basket.py @@ -84,8 +84,8 @@ class DualCorrTranche(): instance = cls(rec['index'], rec['series'], rec['tenor'], attach=rec['attach'], detach=rec['detach'], - corr_attach=rec['corr_attach'] or np.nan, - corr_detach=rec['corr_detach'] or np.nan, + corr_attach=rec['corr_attach'] or -1., + corr_detach=rec['corr_detach'] or -1., notional=rec['notional'], tranche_running=rec['coupon'], value_date=rec['trade_date']) @@ -110,7 +110,7 @@ class DualCorrTranche(): return 0., 0. elif K == 1.: return self.index_pv()[:-1] - elif np.isnan(rho): + elif rho == -1.: raise ValueError("ρ needs to be a real number between 0. and 1.") else: Legs = namedtuple('TrancheLegs', 'coupon_leg, protection_leg') @@ -307,7 +307,7 @@ class TrancheBasket(BasketIndex): self._Ngh = 250 self._Ngrid = 201 self._Z, self._w = GHquad(self._Ngh) - self.rho = np.full(self.K.size, np.nan) + self.rho = np.full(self.K.size, -1.) self.cs = credit_schedule(value_date, self.tenor[:-1], 1, self.yc, self.maturity) @@ -396,8 +396,8 @@ class TrancheBasket(BasketIndex): if ((K == 0. and not complement) or (K == 1. and complement)): return 0., 0. elif ((K == 1. and not complement) or (K == 0. and complement)): - return self.index_pv()[:-1] - elif np.isnan(rho): + return Legs(*self.index_pv()[:-1]) + elif rho == -1.: raise ValueError("rho needs to be a real number between 0. and 1.") else: if shortened > 0: @@ -641,4 +641,4 @@ class TrancheBasket(BasketIndex): K1eq.append(brentq(aux2, K2 * 0.1, K2 * 2.5, (self, index2, K2, shortened))) - return np.hstack([np.nan, expit(self._skew(logit(K1eq))), np.nan]) + return np.hstack([-1., expit(self._skew(logit(K1eq))), 1.]) |