diff options
Diffstat (limited to 'python/analytics/tranche_basket.py')
| -rw-r--r-- | python/analytics/tranche_basket.py | 4 |
1 files changed, 2 insertions, 2 deletions
diff --git a/python/analytics/tranche_basket.py b/python/analytics/tranche_basket.py index 303e82f2..ac08a899 100644 --- a/python/analytics/tranche_basket.py +++ b/python/analytics/tranche_basket.py @@ -183,11 +183,11 @@ class TrancheBasket(BasketIndex): def recovery_rates(self): return np.array([c.recovery_rates[0] for c in self.curves]) - def tranche_theta(self, shortened=4, complement=False, method=['ATM', 'TLP', 'PM']): + def tranche_theta(self, shortened=4, complement=False, method=['ATM']): N = len(self.cs) - shortened indexshort = deepcopy(self) indexshort.cs = self.cs[:-shortened] - indexshort.rho = self.map_skew(indexshort, "ATM") + indexshort.rho = self.map_skew(indexshort, method) temp = self.tranche_pvs(complement=complement) temp2 = indexshort.tranche_pvs(complement=complement) temp3 = indexshort.tranche_deltas(complement=complement) |