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 22c675c4..5f1532cc 100644 --- a/python/risk/tranches.py +++ b/python/risk/tranches.py @@ -49,7 +49,7 @@ def insert_tranche_risk(portf, conn): trade_id[1], trade.clean_pv, -trade._accrued * trade.notional, - trade.theta(), + trade.theta(method="TLP"), trade.duration, trade.delta, trade.upfront, |