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Diffstat (limited to 'python')
| -rw-r--r-- | python/analytics/tranche_basket.py | 3 |
1 files changed, 3 insertions, 0 deletions
diff --git a/python/analytics/tranche_basket.py b/python/analytics/tranche_basket.py index 8820e83a..b75559ab 100644 --- a/python/analytics/tranche_basket.py +++ b/python/analytics/tranche_basket.py @@ -596,6 +596,9 @@ class DualCorrTranche: ) def theta(self, method="ATM", skew=None): + if self.maturity + relativedelta(years=-1) < self.value_date: + raise ValueError("less than one year left") + def aux(x, K2, shortened): if x == 0.0 or x == 1.0: newrho = x |