diff options
Diffstat (limited to 'python/analytics')
| -rw-r--r-- | python/analytics/tranche_basket.py | 6 |
1 files changed, 5 insertions, 1 deletions
diff --git a/python/analytics/tranche_basket.py b/python/analytics/tranche_basket.py index 6e9a1f7b..26fa19dc 100644 --- a/python/analytics/tranche_basket.py +++ b/python/analytics/tranche_basket.py @@ -1219,11 +1219,15 @@ class TrancheBasket(BasketIndex): def tranche_thetas( self, complement=False, shortened=4, method="ATM", zero_recovery=False ): + """ + method: One of "ATM", "TLP", "PM", "no_adj" + """ bp = self.tranche_pvs( complement=complement, zero_recovery=zero_recovery ).bond_price rho_saved = self.rho - self.rho = self.map_skew(self, method, shortened) + if method != "no_adj": + self.rho = self.map_skew(self, method, shortened) bpshort = self.tranche_pvs( complement=complement, shortened=shortened, zero_recovery=zero_recovery ).bond_price |