diff options
Diffstat (limited to 'python')
| -rw-r--r-- | python/analytics/tranche_basket.py | 2 |
1 files changed, 1 insertions, 1 deletions
diff --git a/python/analytics/tranche_basket.py b/python/analytics/tranche_basket.py index 2f5cdb4d..5d713a09 100644 --- a/python/analytics/tranche_basket.py +++ b/python/analytics/tranche_basket.py @@ -55,7 +55,7 @@ class TrancheBasket(BasketIndex): coupon, recov) self.tranche_quotes.running.iat[i] = coupon - accrued = cds_accrued(self.value_date, self.tranche_quotes.running) + accrued = np.array([cds_accrued(self.value_date, r) for r in self.tranche_quotes.running]) self.tranche_quotes.quotes -= accrued self._Ngh = 250 |