diff options
Diffstat (limited to 'python/analytics')
| -rw-r--r-- | python/analytics/tranche_basket.py | 4 |
1 files changed, 2 insertions, 2 deletions
diff --git a/python/analytics/tranche_basket.py b/python/analytics/tranche_basket.py index 7608858d..68a67448 100644 --- a/python/analytics/tranche_basket.py +++ b/python/analytics/tranche_basket.py @@ -273,7 +273,7 @@ class DualCorrTranche(): calc = self._greek_calc() factor = self.tranche_factor / self._index.factor return (calc['bp'][1] - calc['bp'][2]) / (calc['indexbp'][1] - - calc['indexbp'][2]) * factor + - calc['indexbp'][2]) * factor * -self._direction @property def gamma(self): @@ -283,7 +283,7 @@ class DualCorrTranche(): - calc['indexbp'][0]) * factor delta = (calc['bp'][1] - calc['bp'][2]) / (calc['indexbp'][1] - calc['indexbp'][2]) * factor - return (deltaplus - delta) / (calc['indexbp'][1] - calc['indexbp'][0]) / 100 + return -(deltaplus - delta) / (calc['indexbp'][1] - calc['indexbp'][0]) / 100 def _greek_calc(self): eps = 1e-4 |