diff options
Diffstat (limited to 'python/analytics/tranche_basket.py')
| -rw-r--r-- | python/analytics/tranche_basket.py | 8 |
1 files changed, 4 insertions, 4 deletions
diff --git a/python/analytics/tranche_basket.py b/python/analytics/tranche_basket.py index 29074988..dab528c6 100644 --- a/python/analytics/tranche_basket.py +++ b/python/analytics/tranche_basket.py @@ -406,7 +406,7 @@ class TrancheBasket(BasketIndex): return {self.maturity: self._snacpv(refspread * 1e-4, self.coupon(self.maturity), self.recovery, self.maturity)} - raise ValueError("ref is missing") + raise ValueError("ref is missing") @property def default_prob(self): @@ -647,22 +647,22 @@ class TrancheBasket(BasketIndex): newrho = x else: newrho = expit(index1._skew(logit(x))) - assert newrho >= 0. and newrho <= 1., "Something went wrong" + assert newrho >= 0. and newrho <= 1., f"Something went wrong x: {x}, rho: {newrho}" return self.expected_loss_trunc(x, rho=newrho) / el1 - \ index2.expected_loss_trunc(K2, newrho, shortened) / el2 def aux2(x, index1, index2, K2, shortened): newrho = expit(index1._skew(logit(x))) - assert newrho >= 0 and newrho <= 1, "Something went wrong" + assert newrho >= 0 and newrho <= 1, f"Something went wrong x: {x}, rho: {newrho}" return np.log(self.probability_trunc(x, newrho)) - \ np.log(index2.probability_trunc(K2, newrho, shortened)) def find_upper_bound(*args): K2 = args[4] while aux(K2, *args) < 0: + K2 *= 1.1 if K2 > 1.: raise ValueError("Can't find reasonnable bracketing interval") - K2 *= 1.1 return K2 if method not in ["ATM", "TLP", "PM"]: |