diff options
Diffstat (limited to 'python/analytics/tranche_basket.py')
| -rw-r--r-- | python/analytics/tranche_basket.py | 18 |
1 files changed, 9 insertions, 9 deletions
diff --git a/python/analytics/tranche_basket.py b/python/analytics/tranche_basket.py index e331f125..615e7cca 100644 --- a/python/analytics/tranche_basket.py +++ b/python/analytics/tranche_basket.py @@ -412,26 +412,26 @@ class DualCorrTranche(): pass if 'skew' in args: - self._skew = el, skew_fun = args['skew'] + self._skew = args['skew'] else: d = self.value_date i = 0 while i < 5: try: - self._skew = el, skew_fun = (Skew. - from_desc(self.index_type, - self.series, - self.tenor, - value_date=d)) + self._skew = (Skew. + from_desc(self.index_type, + self.series, + self.tenor, + value_date=d)) except ValueError as e: - logger.error(str(e)) + logger.warning(str(e)) d -= bus_day logger.info(f"trying {d}") i += 1 else: break - K_index_eq = self.K / self.expected_loss() - self.rho = self._skew(K_index_eq) + moneyness_eq = self.K / self.expected_loss() + self.rho = self._skew(moneyness_eq) def jump_to_default(self, skew): curves = self._index.curves |