diff options
Diffstat (limited to 'python/analytics/tranche_basket.py')
| -rw-r--r-- | python/analytics/tranche_basket.py | 5 |
1 files changed, 2 insertions, 3 deletions
diff --git a/python/analytics/tranche_basket.py b/python/analytics/tranche_basket.py index 26fa19dc..e093ecc3 100644 --- a/python/analytics/tranche_basket.py +++ b/python/analytics/tranche_basket.py @@ -703,7 +703,7 @@ class DualCorrTranche: np.diff(np.clip(self.K, None, L)) / np.diff(self.K_orig) * orig_factor ) upf += float(loss) - r.append(upf) + r.append(self.notional * weight * (upf - orig_upf) / 100) tickers.append(curve.ticker) self._index._factor, self._index._cumloss = orig_factor, orig_cumloss self.K = adjust_attachments( @@ -711,8 +711,7 @@ class DualCorrTranche: ) self._index.curves = curves self.rho = rho_orig - r = r - orig_upf - return pd.Series(r / 100, index=tickers) + return pd.Series(r, index=tickers) @property def tranche_factor(self): |