diff options
Diffstat (limited to 'python/analytics/tranche_functions.py')
| -rw-r--r-- | python/analytics/tranche_functions.py | 12 |
1 files changed, 9 insertions, 3 deletions
diff --git a/python/analytics/tranche_functions.py b/python/analytics/tranche_functions.py index 9c00c9eb..1b3792b7 100644 --- a/python/analytics/tranche_functions.py +++ b/python/analytics/tranche_functions.py @@ -173,7 +173,10 @@ def BCloss_recov_dist( ): L = np.zeros((Ngrid, defaultprob.shape[1]), order="F") R = np.zeros_like(L) - rho = np.full(issuerweights.size, rho) + if rho > 1.0: + rho = np.ones(issuerweights.size) + else: + rho = np.full(issuerweights.size, rho) libloss.BCloss_recov_dist( defaultprob, byref(c_int(defaultprob.shape[0])), @@ -197,7 +200,10 @@ def BCloss_recov_trunc( ): ELt = np.zeros(defaultprob.shape[1]) ERt = np.zeros_like(ELt) - rho = np.full(issuerweights.size, rho) + if rho > 1.0: + rho = np.ones(issuerweights.size) + else: + rho = np.full(issuerweights.size, rho) libloss.BCloss_recov_trunc( defaultprob, byref(c_int(defaultprob.shape[0])), @@ -511,7 +517,7 @@ def credit_schedule_pyisda( def cds_accrued(tradedate, coupon): - """ computes accrued for a standard CDS + """computes accrued for a standard CDS TODO: fix for when trade_date + 1 = IMM date""" tradedate = Date.from_datetime(tradedate) |