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Diffstat (limited to 'python/calibrate_tranches_BC.py')
| -rw-r--r-- | python/calibrate_tranches_BC.py | 1 |
1 files changed, 0 insertions, 1 deletions
diff --git a/python/calibrate_tranches_BC.py b/python/calibrate_tranches_BC.py index 6e405e9d..ecf18383 100644 --- a/python/calibrate_tranches_BC.py +++ b/python/calibrate_tranches_BC.py @@ -201,7 +201,6 @@ if __name__ == "__main__": df["index_price"], ) = tranche_index.index_pv(clean=True) df["index_expected_loss"] *= -1 - df["index_duration"] -= tranche_index.accrued() df["index_basis"] = tranche_index.tweaks[0] df["index_theta"] = tranche_index.theta()[tenor] df["tranche_id"] = tranche_index.tranche_quotes.id.values |