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Diffstat (limited to 'python/calibrate_tranches_BC.py')
| -rw-r--r-- | python/calibrate_tranches_BC.py | 2 |
1 files changed, 1 insertions, 1 deletions
diff --git a/python/calibrate_tranches_BC.py b/python/calibrate_tranches_BC.py index 47b08e49..6e405e9d 100644 --- a/python/calibrate_tranches_BC.py +++ b/python/calibrate_tranches_BC.py @@ -199,7 +199,7 @@ if __name__ == "__main__": df["index_duration"], df["index_expected_loss"], df["index_price"], - ) = tranche_index.index_pv() + ) = tranche_index.index_pv(clean=True) df["index_expected_loss"] *= -1 df["index_duration"] -= tranche_index.accrued() df["index_basis"] = tranche_index.tweaks[0] |