diff options
Diffstat (limited to 'python/analytics')
| -rw-r--r-- | python/analytics/tranche_basket.py | 3 |
1 files changed, 1 insertions, 2 deletions
diff --git a/python/analytics/tranche_basket.py b/python/analytics/tranche_basket.py index e28b2db2..8765b1c0 100644 --- a/python/analytics/tranche_basket.py +++ b/python/analytics/tranche_basket.py @@ -18,6 +18,7 @@ from . import dawn_engine, serenitas_engine, serenitas_pool from copy import deepcopy from dateutil.relativedelta import relativedelta from lru import LRU +from math import log from pyisda.date import cds_accrued from scipy.optimize import brentq from scipy.interpolate import CubicSpline, PchipInterpolator @@ -868,7 +869,6 @@ class TrancheBasket(BasketIndex): def jump_to_default(self, zero_recovery=False): curves = self.curves orig_factor, orig_cumloss = self.factor, self.cumloss - el_orig = self.expected_loss() orig_upfs = ( self.tranche_factors() * self.tranche_pvs(protection=True, zero_recovery=zero_recovery).bond_price @@ -1051,7 +1051,6 @@ class TrancheBasket(BasketIndex): else: index_short.cs = self.cs if index_short.cs.empty: - n_tranches = self.K_orig.shape[0] return pd.DataFrame( {"fwd_delta": np.nan, "fwd_gamma": np.nan}, index=self._row_names ) |