diff options
Diffstat (limited to 'python/analytics')
| -rw-r--r-- | python/analytics/tranche_basket.py | 12 |
1 files changed, 12 insertions, 0 deletions
diff --git a/python/analytics/tranche_basket.py b/python/analytics/tranche_basket.py index 6ab730a3..f5dff6de 100644 --- a/python/analytics/tranche_basket.py +++ b/python/analytics/tranche_basket.py @@ -441,6 +441,18 @@ class DualCorrTranche: + self.tranche_running * 1e-4 * days_accrued ) + @property + def corr01(self): + orig_pv = self.pv + orig_rho = self.rho + eps = 0.01 + # multiplicative version + # self.rho = np.power(self.rho, 1 - eps) + self.rho += eps + corr01 = self.pv - orig_pv + self.rho = orig_rho + return corr01 + def __repr__(self): s = [ f"{self.index_type}{self.series} {self.tenor} Tranche", |