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 89a4e31f..555bc217 100644 --- a/python/analytics/tranche_basket.py +++ b/python/analytics/tranche_basket.py @@ -222,7 +222,8 @@ class DualCorrTranche(): "{:<20}\t{:>15}".format("Direction", self.direction)] rows = [["Notional", self.notional, "PV", self.pv *100], ["Attach", self.attach, "Detach", self.detach], - ["Attach Corr", self.rho[0] * 100, "Detach Corr", self.rho[1] * 100], + ["Attach Corr", self.rho[0] * 100 if self.rho[0] else "N/A", + "Detach Corr", self.rho[1] * 100 if self.rho[1] else "N/A"], ["Delta", self.delta, "Gamma", self.gamma]] format_strings = [[None, '{:,.0f}', None, '{:,.4f}%'], [None, '{:.2f}', None, '{:,.2f}'], @@ -260,7 +261,7 @@ class DualCorrTranche(): with conn.cursor() as c: c.execute(sql_string, (self.index_type, self.series, self.tenor, self.value_date, - self.attach, self.attach)) + self.detach, self.attach)) if self.attach == 0: self.rho[1], = next(c) elif self.detach == 100: |