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Diffstat (limited to 'python/analytics/tranche_basket.py')
| -rw-r--r-- | python/analytics/tranche_basket.py | 2 |
1 files changed, 1 insertions, 1 deletions
diff --git a/python/analytics/tranche_basket.py b/python/analytics/tranche_basket.py index adcd186f..89d66f35 100644 --- a/python/analytics/tranche_basket.py +++ b/python/analytics/tranche_basket.py @@ -947,7 +947,7 @@ class TrancheBasket(BasketIndex): K = adjust_attachments(self.K_orig, 1 - self.factor, self.factor) else: K = self.K - return np.diff(self.K) / np.diff(self.K_orig) * self.factor + return np.diff(K) / np.diff(self.K_orig) * self.factor def _get_quotes(self, spread=None): if spread is not None: |