diff options
Diffstat (limited to 'python/analytics')
| -rw-r--r-- | python/analytics/tranche_basket.py | 8 |
1 files changed, 8 insertions, 0 deletions
diff --git a/python/analytics/tranche_basket.py b/python/analytics/tranche_basket.py index b16c7217..9ec1a2b5 100644 --- a/python/analytics/tranche_basket.py +++ b/python/analytics/tranche_basket.py @@ -1400,6 +1400,14 @@ class TrancheBasket(BasketIndex): ) return np.hstack([np.nan, self.skew(moneyness1_eq), np.nan]) + def __repr__(self): + result = pd.concat([self.tranche_deltas(), self.tranche_thetas()], axis=1) + result["corr_01"] = self.tranche_corr01() + result["corr_at_detach"] = self.rho[1:] + result["price"] = self.tranche_pvs().bond_price + result["net_theta"] = result.theta - self.theta(self.maturity) * result.delta + return repr(result) + class MarkitTrancheBasket(TrancheBasket): def _set_tranche_quotes(self, value_date): |