diff options
Diffstat (limited to 'python')
| -rw-r--r-- | python/calibrate_tranches_BC.py | 7 |
1 files changed, 3 insertions, 4 deletions
diff --git a/python/calibrate_tranches_BC.py b/python/calibrate_tranches_BC.py index 808035f0..cd32760b 100644 --- a/python/calibrate_tranches_BC.py +++ b/python/calibrate_tranches_BC.py @@ -97,17 +97,16 @@ if __name__ == "__main__": data = {} for d in dr: + logger.debug(d.date()) try: if tranche_index is None: tranche_index = TrancheBasket(index, series, tenor, value_date=d.date()) else: tranche_index.value_date = d.date() except ValueError as e: - logger.warning(e) + logger.error(e) continue - logger.debug(d.date()) - tranche_index.tweak() try: tranche_index.build_skew() @@ -116,7 +115,7 @@ if __name__ == "__main__": continue df = pd.concat([tranche_index.tranche_deltas(), - tranche_index.tranche_thetas(), + tranche_index.tranche_thetas(method="TLP"), tranche_index.tranche_fwd_deltas(), tranche_index.tranche_durations(), tranche_index.tranche_EL(), |