diff options
Diffstat (limited to 'python/analytics')
| -rw-r--r-- | python/analytics/tranche_basket.py | 2 |
1 files changed, 1 insertions, 1 deletions
diff --git a/python/analytics/tranche_basket.py b/python/analytics/tranche_basket.py index c8b11dbe..63daddff 100644 --- a/python/analytics/tranche_basket.py +++ b/python/analytics/tranche_basket.py @@ -1116,7 +1116,7 @@ class TrancheBasket(BasketIndex): cl = coupons @ (sizeadj * df) bp = 1 + cl * self.coupon(self.maturity) + pl if clean: - accrued = self.accrued() + accrued = self.accrued(self.maturity) cl -= accrued / self.coupon(self.maturity) bp -= self.accrued(self.maturity) return self._Legs(cl, pl, bp) |