diff options
Diffstat (limited to 'python/risk/bonds.py')
| -rw-r--r-- | python/risk/bonds.py | 4 |
1 files changed, 2 insertions, 2 deletions
diff --git a/python/risk/bonds.py b/python/risk/bonds.py index 9ee98a20..99010740 100644 --- a/python/risk/bonds.py +++ b/python/risk/bonds.py @@ -138,7 +138,7 @@ def subprime_risk(pos_date, conn, engine, model_date=None): # assume beta and ontr is initialized from analytics hy_equiv=( df_calc.delta_yield - / analytics._ontr.risky_annuity + / analytics._ontr["HY"].risky_annuity * analytics._beta["SUBPRIME"] * 1e2 * df_calc.local_market_value @@ -235,7 +235,7 @@ def crt_risk(date, dawn_conn, engine, model_version="hpi5_ir3_btm"): df["curr_ntl"] = df.notional * df.factor df["hy_equiv"] = ( df.duration_FW - / analytics._ontr.risky_annuity + / analytics._ontr["HY"].risky_annuity * analytics._beta["CRT"] * df.curr_ntl ) |