diff options
Diffstat (limited to 'python')
| -rw-r--r-- | python/analytics/tranche_basket.py | 4 | ||||
| -rw-r--r-- | python/risk/tranches.py | 3 |
2 files changed, 4 insertions, 3 deletions
diff --git a/python/analytics/tranche_basket.py b/python/analytics/tranche_basket.py index 46161e0f..985ade28 100644 --- a/python/analytics/tranche_basket.py +++ b/python/analytics/tranche_basket.py @@ -19,7 +19,6 @@ from .utils import ( memoize, build_table, bus_day, - next_twentieth, get_external_nav, run_local, ) @@ -35,6 +34,7 @@ from scipy.optimize import brentq from scipy.interpolate import CubicSpline, PchipInterpolator from scipy.special import logit, expit +from typing import Callable import datetime import logging import matplotlib.pyplot as plt @@ -717,7 +717,7 @@ class DualCorrTranche: ) def theta(self, method="ATM", skew=None): - if self.maturity + relativedelta(years=-1) < self.value_date: + if self.maturity + relativedelta(years=-1) <= self.value_date + relativedelta(days=1): raise ValueError("less than one year left") def aux(x, K2, shortened): diff --git a/python/risk/tranches.py b/python/risk/tranches.py index 3bf72e50..93c433f4 100644 --- a/python/risk/tranches.py +++ b/python/risk/tranches.py @@ -79,7 +79,8 @@ def insert_tranche_portfolio(portf, conn): logger.info(f"marking tranche {trade_id} in {strat}") try: theta = trade.theta(method="TLP") - except (ValueError, RuntimeError): + except (ValueError, RuntimeError) as e: + logger.info(str(e)) theta = ( trade.clean_pv / trade.notional / trade.duration + trade.tranche_running * 1e-4 |