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 15083070..65ee6ec2 100644 --- a/python/analytics/tranche_basket.py +++ b/python/analytics/tranche_basket.py @@ -521,9 +521,9 @@ class DualCorrTranche: # TODO: handle factor change days_accrued = (self.value_date - self._trade_date).days / 360 return ( - self.clean_pv + self.clean_pv * self._index._fx - self._original_clean_pv - + self.tranche_running * 1e-4 * days_accrued + + self.tranche_running * 1e-4 * days_accrued * self._index._fx ) @property @@ -568,6 +568,7 @@ class DualCorrTranche: def shock(self, params=["pnl"], *, spread_shock, corr_shock, **kwargs): orig_rho = self.rho r = [] + self.reset_pv() actual_params = [p for p in params if hasattr(self, p)] orig_curves = self._index.curves for ss in spread_shock: |