diff options
Diffstat (limited to 'python')
| -rw-r--r-- | python/risk/tranches.py | 5 |
1 files changed, 4 insertions, 1 deletions
diff --git a/python/risk/tranches.py b/python/risk/tranches.py index 55f4ce4d..fee7b539 100644 --- a/python/risk/tranches.py +++ b/python/risk/tranches.py @@ -83,7 +83,10 @@ def insert_tranche_portfolio(portf, conn): # when there is less than one year left we computed the theta to maturity logger.info(str(e)) theta = ( - trade.clean_pv / trade.notional + trade.clean_pv + / trade.notional + / trade.tranche_factor + / trade._index._fx + trade.tranche_running * 1e-4 * trade.duration ) c.execute( |