diff options
Diffstat (limited to 'python/analytics')
| -rw-r--r-- | python/analytics/tranche_basket.py | 10 |
1 files changed, 1 insertions, 9 deletions
diff --git a/python/analytics/tranche_basket.py b/python/analytics/tranche_basket.py index 728662e9..26dfd437 100644 --- a/python/analytics/tranche_basket.py +++ b/python/analytics/tranche_basket.py @@ -44,14 +44,6 @@ class DualCorrTranche(): self._index = BasketIndex(index_type, series, [tenor], value_date=value_date) - def get_quotes(self, spread): - maturity = self.maturities[0] - return {maturity: - self._snacpv(spread * 1e-4, self.coupon(maturity), - self.recovery, maturity)} - # monkey patch _get_quotes (don't try it at home) - # but it works...: replaces _get_quotes with this simpler one - BasketIndex._get_quotes = get_quotes self.maturity = self._index.maturities[0] self.index_type = index_type self.series = series @@ -104,7 +96,7 @@ class DualCorrTranche(): value_date=rec['trade_date']) instance.direction = rec['protection'] if rec['index_ref'] is not None: - instance._index.tweak(rec['index_ref']) + instance._index.tweak([rec['index_ref']]) instance.reset_pv() return instance |