1 files changed, 28 insertions, 23 deletions
diff --git a/python/analytics/tranche_basket.py b/python/analytics/tranche_basket.py
index 863aaebf..21e03a79 100644
--- a/python/analytics/tranche_basket.py
+++ b/python/analytics/tranche_basket.py
@@ -288,29 +288,34 @@ class DualCorrTranche():
                                              names=['spread_shock', 'corr_shock']))
 
     def mark(self, **args):
-        sql_string = ("SELECT tranche_id, corr_at_detach FROM tranche_risk b "
-                      "LEFT JOIN tranche_quotes a ON a.id = b.tranche_id "
-                      "WHERE a.index=%s AND a.series=%s AND a.tenor=%s "
-                      "AND quotedate::date=%s "
-                      "AND (a.detach = %s OR a.attach = %s) ORDER BY a.attach")
-        conn = serenitas_engine.raw_connection()
-        with conn.cursor() as c:
-            c.execute(sql_string, (self.index_type, self.series,
-                                   self.tenor, self.value_date,
-                                   self.attach, self.attach))
-            if self.attach == 0:
-                self._tranche_id, self.rho[1] = next(c)
-            elif self.detach == 100:
-                self._tranche_id, self.rho[0] = next(c)
-            else:
-                self.rho = []
-                for tranche_id, corr in c:
-                    self.rho.append(corr)
-                try:
-                    self._tranche_id = tranche_id
-                except UnboundLocalError:
-                    pass
-        conn.close()
+        if 'skew' in args:
+            el, skew_fun = args['skew']
+            K_index_eq = np.clip(el/-self.index_pv().protection_leg * self.K, None, .999)
+            self.rho = expit(skew_fun(logit(K_index_eq)))
+        else:
+            sql_string = ("SELECT tranche_id, corr_at_detach FROM tranche_risk b "
+                          "LEFT JOIN tranche_quotes a ON a.id = b.tranche_id "
+                          "WHERE a.index=%s AND a.series=%s AND a.tenor=%s "
+                          "AND quotedate::date=%s "
+                          "AND (a.detach = %s OR a.attach = %s) ORDER BY a.attach")
+            conn = serenitas_engine.raw_connection()
+            with conn.cursor() as c:
+                c.execute(sql_string, (self.index_type, self.series,
+                                       self.tenor, self.value_date,
+                                       self.attach, self.attach))
+                if self.attach == 0:
+                    self._tranche_id, self.rho[1] = next(c)
+                elif self.detach == 100:
+                    self._tranche_id, self.rho[0] = next(c)
+                else:
+                    self.rho = []
+                    for tranche_id, corr in c:
+                        self.rho.append(corr)
+                    try:
+                        self._tranche_id = tranche_id
+                    except UnboundLocalError:
+                        pass
+            conn.close()
 
     @property
     def tranche_factor(self):