diff options
Diffstat (limited to 'python/risk/tranches.py')
| -rw-r--r-- | python/risk/tranches.py | 2 |
1 files changed, 1 insertions, 1 deletions
diff --git a/python/risk/tranches.py b/python/risk/tranches.py index fee7b539..edd83f50 100644 --- a/python/risk/tranches.py +++ b/python/risk/tranches.py @@ -101,7 +101,7 @@ def insert_tranche_portfolio(portf, conn): trade.delta, trade.gamma, theta, - theta * trade.notional * trade.tranche_factor * trade._index._fx, + -theta * trade.notional * trade.tranche_factor * trade._index._fx, trade.corr01, trade.tranche_factor, trade.upfront, |