diff options
Diffstat (limited to 'python/risk')
| -rw-r--r-- | python/risk/bonds.py | 7 |
1 files changed, 3 insertions, 4 deletions
diff --git a/python/risk/bonds.py b/python/risk/bonds.py index 9e1e3d3a..fda36111 100644 --- a/python/risk/bonds.py +++ b/python/risk/bonds.py @@ -111,10 +111,9 @@ def subprime_risk(date, conn, engine): ) df_calc.b_yield += ( - ((df_calc.pv1 * df_calc.curr_ntl / df_calc.local_market_value).log() / - df_calc.modDur). - clip_upper(1.0) - ) + (df_calc.pv1 * df_calc.curr_ntl / df_calc.local_market_value).log() + / df_calc.modDur + ).clip_upper(1.0) # delta scaled by ratio of market_value to model value df_calc.delta_yield *= df_calc.local_market_value / df_calc.pv3 df_calc.delta_ir *= df_calc.local_market_value / df_calc.pv3 |