diff options
Diffstat (limited to 'python')
| -rw-r--r-- | python/analytics/tranche_basket.py | 4 |
1 files changed, 4 insertions, 0 deletions
diff --git a/python/analytics/tranche_basket.py b/python/analytics/tranche_basket.py index 432181e8..f5b5d0a2 100644 --- a/python/analytics/tranche_basket.py +++ b/python/analytics/tranche_basket.py @@ -870,6 +870,10 @@ class TrancheBasket(BasketIndex): index_short.cs = self.cs[:-shortened] else: index_short.cs = self.cs + if index_short.cs.empty: + n_tranches = self.K_orig.shape[0] + return pd.DataFrame({"fwd_delta": np.full(n_tranches, np.nan), + "fwd_gamma": np.full(n_tranches, np.nan)}) index_short.rho = self.map_skew(index_short, method) df = index_short.tranche_deltas() df.columns = ['fwd_delta', 'fwd_gamma'] |