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Diffstat (limited to 'python/analytics/tranche_basket.py')
| -rw-r--r-- | python/analytics/tranche_basket.py | 5 |
1 files changed, 4 insertions, 1 deletions
diff --git a/python/analytics/tranche_basket.py b/python/analytics/tranche_basket.py index 195b43da..e28b2db2 100644 --- a/python/analytics/tranche_basket.py +++ b/python/analytics/tranche_basket.py @@ -880,7 +880,10 @@ class TrancheBasket(BasketIndex): self.curves = [ (w, c) if c.ticker != curve.ticker else (w, None) for w, c in curves ] - L = (1 - curve.recovery_rates[0]) * weight * orig_factor + if zero_recovery: + L = weight * orig_factor + else: + L = (1 - curve.recovery_rates[0]) * weight * orig_factor self._cumloss = orig_cumloss + L self._factor = orig_factor * (1 - weight) self.K = adjust_attachments(self.K_orig, self.cumloss, self.factor) |