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Diffstat (limited to 'python/analytics/tranche_basket.py')
| -rw-r--r-- | python/analytics/tranche_basket.py | 2 |
1 files changed, 1 insertions, 1 deletions
diff --git a/python/analytics/tranche_basket.py b/python/analytics/tranche_basket.py index 35efac81..b17c6baf 100644 --- a/python/analytics/tranche_basket.py +++ b/python/analytics/tranche_basket.py @@ -469,7 +469,7 @@ class DualCorrTranche: @property def corr01(self): orig_pv = self.pv - orig_rho = self.rho + orig_rho = self.rho.copy() eps = 0.01 # multiplicative version # self.rho = np.power(self.rho, 1 - eps) |