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 191ebf55..9bbf1c93 100644 --- a/python/analytics/tranche_basket.py +++ b/python/analytics/tranche_basket.py @@ -197,9 +197,9 @@ class DualCorrTranche(): orig_rho = self.rho r = [] actual_params = [p for p in params if hasattr(self, p)] + orig_curves = self._index.curves for ss in spread_shock: - orig_curves = deepcopy(self._index.curves) - self._index.tweak_portfolio(ss, self.maturity) + self._index.tweak_portfolio(ss, self.maturity, False) for corrs in corr_shock: #also need to map skew self.rho = np.fmin(1, orig_rho * (1 + corrs)) |