1 files changed, 23 insertions, 2 deletions
diff --git a/python/analytics/tranche_basket.py b/python/analytics/tranche_basket.py
index 38114670..b2faecea 100644
--- a/python/analytics/tranche_basket.py
+++ b/python/analytics/tranche_basket.py
@@ -1,3 +1,4 @@
+from __future__ import annotations
 from .basket_index import BasketIndex
 from .tranche_functions import (
     credit_schedule,
@@ -45,6 +46,14 @@ import warnings
 logger = logging.getLogger(__name__)
 
 
+class dSkew:
+    __slots__ = ("s1", "s2")
+
+    def __init__(self, skew1: CubicSpline, skew2: CubicSpline):
+        self.s1 = skew1.skew_fun
+        self.s2 = skew2.skew_fun
+
+
 class Skew:
     _cache = LRU(64)
 
@@ -56,8 +65,20 @@ class Skew:
         yield self.el
         yield self.skew_fun
 
-    def __call__(self, k):
-        return expit(self.skew_fun(np.log(k)))
+    def __call__(self, moneyness):
+        return expit(self.skew_fun(np.log(moneyness)))
+
+    def __add__(self, dS: dSkew) -> Callable:
+        def newSkew(moneyness):
+            lmoneyness = np.log(moneyness)
+            return expit(
+                self.skew_fun(lmoneyness) + dS.s2(lmoneyness) - dS.s1(lmoneyness)
+            )
+
+        return newSkew
+
+    def __sub__(self, other: Skew) -> dSkew:
+        return dSkew(other, self)
 
     @classmethod
     def from_desc(