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 a0f33aa6..3bf72e50 100644 --- a/python/risk/tranches.py +++ b/python/risk/tranches.py @@ -79,7 +79,7 @@ def insert_tranche_portfolio(portf, conn): logger.info(f"marking tranche {trade_id} in {strat}") try: theta = trade.theta(method="TLP") - except ValueError: + except (ValueError, RuntimeError): theta = ( trade.clean_pv / trade.notional / trade.duration + trade.tranche_running * 1e-4 |