diff options
Diffstat (limited to 'python/analytics')
| -rw-r--r-- | python/analytics/tranche_basket.py | 5 |
1 files changed, 3 insertions, 2 deletions
diff --git a/python/analytics/tranche_basket.py b/python/analytics/tranche_basket.py index a2b7d5bf..eeba7495 100644 --- a/python/analytics/tranche_basket.py +++ b/python/analytics/tranche_basket.py @@ -91,10 +91,11 @@ class DualCorrTranche(): corr_attach=rec['corr_attach'], corr_detach=rec['corr_detach'], notional=rec['notional'], - tranche_running=rec['coupon'], + tranche_running=rec['fixed_rate']*100, value_date=rec['trade_date']) instance.direction = rec['protection'] - instance._index.tweak(rec['index_ref']) + if rec['index_ref'] is not None: + instance._index.tweak(rec['index_ref']) return instance |