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Diffstat (limited to 'python/analytics/tranche_basket.py')
| -rw-r--r-- | python/analytics/tranche_basket.py | 3 |
1 files changed, 3 insertions, 0 deletions
diff --git a/python/analytics/tranche_basket.py b/python/analytics/tranche_basket.py index 5b8cd375..863aaebf 100644 --- a/python/analytics/tranche_basket.py +++ b/python/analytics/tranche_basket.py @@ -437,6 +437,9 @@ class TrancheBasket(BasketIndex): except ValueError as e: raise ValueError(f"no tranche quotes available for date {d}") from e + @property + def skew(self): + return (self.expected_loss(), self._skew) def tranche_factors(self): return np.diff(self.K) / np.diff(self.K_orig) * self.factor |