diff options
Diffstat (limited to 'python/analytics/tranche_basket.py')
| -rw-r--r-- | python/analytics/tranche_basket.py | 7 |
1 files changed, 5 insertions, 2 deletions
diff --git a/python/analytics/tranche_basket.py b/python/analytics/tranche_basket.py index 4c67f06c..a42a31c6 100644 --- a/python/analytics/tranche_basket.py +++ b/python/analytics/tranche_basket.py @@ -678,7 +678,7 @@ class DualCorrTranche: if self.detach == 100: self.rho[1] = np.nan - def jump_to_default(self): + def jtd_single_names(self): curves = self._index.curves orig_factor, orig_cumloss = self._index.factor, self._index.cumloss orig_upf = self.tranche_factor * self.upfront @@ -711,7 +711,10 @@ class DualCorrTranche: ) self._index.curves = curves self.rho = rho_orig - return pd.Series(r, index=tickers) + return pd.Series( + r, + index=pd.MultiIndex.from_product([tickers, [pd.Timestamp(self.maturity)]]), + ) @property def tranche_factor(self): |