diff options
Diffstat (limited to 'python/analytics')
| -rw-r--r-- | python/analytics/tranche_basket.py | 15 |
1 files changed, 10 insertions, 5 deletions
diff --git a/python/analytics/tranche_basket.py b/python/analytics/tranche_basket.py index 15083070..646cbb41 100644 --- a/python/analytics/tranche_basket.py +++ b/python/analytics/tranche_basket.py @@ -520,11 +520,16 @@ class DualCorrTranche: else: # TODO: handle factor change days_accrued = (self.value_date - self._trade_date).days / 360 - return ( - self.clean_pv - - self._original_clean_pv - + self.tranche_running * 1e-4 * days_accrued - ) + with run_local(): + pnl = ( + self.clean_pv + - self._original_local_clean_pv + + self.tranche_running * 1e-4 * days_accrued + ) + if not analytics._local: + return pnl * self._index._fx + else: + return pnl @property def corr01(self): |