diff options
Diffstat (limited to 'python/analytics')
| -rw-r--r-- | python/analytics/tranche_basket.py | 4 |
1 files changed, 4 insertions, 0 deletions
diff --git a/python/analytics/tranche_basket.py b/python/analytics/tranche_basket.py index 0d546352..15083070 100644 --- a/python/analytics/tranche_basket.py +++ b/python/analytics/tranche_basket.py @@ -921,6 +921,10 @@ class TrancheBasket(BasketIndex): if self.series >= 21: coupon = 100 * 1e-4 for i in [2, 3]: + if self.tranche_quotes.running.iat[i] == 0.01 and not np.isnan( + self.tranche_quotes.quotes.iat[i] + ): + continue self.tranche_quotes.quotes.iat[i] = self._snacpv( self.tranche_quotes.running.iat[i], coupon, |