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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 6e1f9393..432181e8 100644 --- a/python/analytics/tranche_basket.py +++ b/python/analytics/tranche_basket.py @@ -991,4 +991,4 @@ class TrancheBasket(BasketIndex): # need to figure out a better way of setting the bounds moneyness1_eq.append(brentq(aux2, K2 * 0.1/el1, K2 * 2.5/el1, (self, index2, K2, shortened))) - return np.hstack([np.nan, expit(self._skew(log(moneyness1_eq))), np.nan]) + return np.hstack([np.nan, expit(self._skew(np.log(moneyness1_eq))), np.nan]) |