diff options
Diffstat (limited to 'python')
| -rw-r--r-- | python/calibrate_tranches_BC.py | 2 |
1 files changed, 2 insertions, 0 deletions
diff --git a/python/calibrate_tranches_BC.py b/python/calibrate_tranches_BC.py index efa5d5e3..c3f39b7e 100644 --- a/python/calibrate_tranches_BC.py +++ b/python/calibrate_tranches_BC.py @@ -3,6 +3,7 @@ from analytics.tranche_basket import TrancheBasket, MarkitTrancheBasket from pandas.tseries.offsets import BDay import datetime import logging +import numpy as np import os import pandas as pd from pathlib import Path @@ -172,6 +173,7 @@ if __name__ == "__main__": except ValueError as e: logger.error(e) logger.debug("Trying topdown") + tranche_index.rho[:] = np.nan try: tranche_index.build_skew("topdown") except ValueError: |