diff options
Diffstat (limited to 'python/calibrate_tranches_BC.py')
| -rw-r--r-- | python/calibrate_tranches_BC.py | 7 |
1 files changed, 6 insertions, 1 deletions
diff --git a/python/calibrate_tranches_BC.py b/python/calibrate_tranches_BC.py index 34ac7f2c..b552dde4 100644 --- a/python/calibrate_tranches_BC.py +++ b/python/calibrate_tranches_BC.py @@ -126,7 +126,11 @@ if __name__ == "__main__": logger.error(e) continue - tranche_index.tweak() + try: + tranche_index.tweak() + except ValueError as e: + logger.error(e) + break try: tranche_index.build_skew() except ValueError as e: @@ -154,6 +158,7 @@ if __name__ == "__main__": df['corr01'] = tranche_index.tranche_corr01() del df['fwd_gamma'] data[d] = df + if data: data = pd.concat(data) sql_str = build_sql_str(data) |