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Diffstat (limited to 'python/analytics/tranche_functions.py')
| -rw-r--r-- | python/analytics/tranche_functions.py | 2 |
1 files changed, 1 insertions, 1 deletions
diff --git a/python/analytics/tranche_functions.py b/python/analytics/tranche_functions.py index 40ea259d..66a1b68b 100644 --- a/python/analytics/tranche_functions.py +++ b/python/analytics/tranche_functions.py @@ -267,7 +267,7 @@ def tranche_cl(L, R, cs, K1, K2, scaled=False): np.dot(trancherecov(support, K1, K2), R) sizeadj = 0.5 * (size + np.hstack((K2-K1, size[:-1]))) if scaled: - return 1/(K2-K1) * np.dot(sizeadj * cs["coupons"], cs["df"]) + return 1 / (K2-K1) * np.dot(sizeadj * cs["coupons"], cs["df"]) else: return np.dot(sizeadj * cs["coupons"], cs["df"]) |