diff options
Diffstat (limited to 'python')
| -rw-r--r-- | python/analytics/tranche_basket.py | 21 |
1 files changed, 9 insertions, 12 deletions
diff --git a/python/analytics/tranche_basket.py b/python/analytics/tranche_basket.py index 1dafd834..93cf32cc 100644 --- a/python/analytics/tranche_basket.py +++ b/python/analytics/tranche_basket.py @@ -158,18 +158,13 @@ class TrancheBasket(BasketIndex): def expected_loss_trunc(self, K, rho=None): if rho is None: rho = expit(self._skew(logit(K))) - L, _ = BCloss_recov_dist(self.default_prob.values, - self.weights, - self.recovery_rates, - rho, - self._Z, self._w, self._Ngrid) - Ltrunc, _ = BCloss_recov_trunc(self.default_prob.values, - self.weights, - self.recovery_rates, - rho, - K, - self._Z, self._w, self._Ngrid) - return - tranche_pl(L, self.cs, 0., K), Ltrunc + ELt, _ = BCloss_recov_trunc(self.default_prob.values, + self.weights, + self.recovery_rates, + rho, + K, + self._Z, self._w, self._Ngrid) + return - np.dot(np.diff(np.hstack((K, ELt))), self.cs.df) @property @@ -247,3 +242,5 @@ class TrancheBasket(BasketIndex): if method == "ATM": K1eq = el1 / el2 * index2.K[1:-1] + # elif method == "TLP": + # pass |