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Diffstat (limited to 'python/analytics/tranche_basket.py')
| -rw-r--r-- | python/analytics/tranche_basket.py | 10 |
1 files changed, 8 insertions, 2 deletions
diff --git a/python/analytics/tranche_basket.py b/python/analytics/tranche_basket.py index 1af37dd9..9554fbe0 100644 --- a/python/analytics/tranche_basket.py +++ b/python/analytics/tranche_basket.py @@ -590,8 +590,14 @@ class DualCorrTranche: return except ValueError as e: warnings.warn(str(e)) - if "ref" in kwargs: - ref = kwargs["ref"] + if "ref" in kwargs and self.index_type != "BS": + quotes = kwargs["ref"] + if isinstance(d, dict): + ref = quotes[(self.index_type, self.series, self.tenor)] + elif isinstance(quotes, float): + ref = quotes + else: + raise ValueError("don't know what to do with ref: {ref}") else: if not self.index_type == "BS": col_ref = "close_price" if self.index_type == "HY" else "close_spread" |