diff options
Diffstat (limited to 'python')
| -rw-r--r-- | python/analytics/tranche_basket.py | 3 |
1 files changed, 2 insertions, 1 deletions
diff --git a/python/analytics/tranche_basket.py b/python/analytics/tranche_basket.py index aeb51453..8297f83d 100644 --- a/python/analytics/tranche_basket.py +++ b/python/analytics/tranche_basket.py @@ -79,7 +79,7 @@ class Skew(): return s class DualCorrTranche(): - _cache = LRU(64) + _cache = LRU(512) _Legs = namedtuple('Legs', 'coupon_leg, protection_leg, bond_price') def __init__(self, index_type: str=None, series: int=None, @@ -497,6 +497,7 @@ class DualCorrTranche(): else: return np.diff(np.hstack((0., ELvec))) @ df + @memoize(hasher=lambda args: (hash(args[0]._index), *args[1:])) def expected_loss_trunc(self, K, rho=None, shortened=0): if rho is None: rho = self._skew(K) |