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Diffstat (limited to 'python/analytics/tranche_basket.py')
| -rw-r--r-- | python/analytics/tranche_basket.py | 5 |
1 files changed, 2 insertions, 3 deletions
diff --git a/python/analytics/tranche_basket.py b/python/analytics/tranche_basket.py index 65ee6ec2..15083070 100644 --- a/python/analytics/tranche_basket.py +++ b/python/analytics/tranche_basket.py @@ -521,9 +521,9 @@ class DualCorrTranche: # TODO: handle factor change days_accrued = (self.value_date - self._trade_date).days / 360 return ( - self.clean_pv * self._index._fx + self.clean_pv - self._original_clean_pv - + self.tranche_running * 1e-4 * days_accrued * self._index._fx + + self.tranche_running * 1e-4 * days_accrued ) @property @@ -568,7 +568,6 @@ class DualCorrTranche: def shock(self, params=["pnl"], *, spread_shock, corr_shock, **kwargs): orig_rho = self.rho r = [] - self.reset_pv() actual_params = [p for p in params if hasattr(self, p)] orig_curves = self._index.curves for ss in spread_shock: |