diff options
Diffstat (limited to 'python')
| -rw-r--r-- | python/process_queue.py | 2 |
1 files changed, 1 insertions, 1 deletions
diff --git a/python/process_queue.py b/python/process_queue.py index 759a39b3..c6ae9461 100644 --- a/python/process_queue.py +++ b/python/process_queue.py @@ -404,7 +404,7 @@ def cds_trade_process(conn, session, trade): factor = bbg_data['MTG_FACTOR_SET_DT'] if is_tranche_trade(trade): tranche_factor = ((trade['attach'] - trade['detach']) / - (trade['orig_attach'] - trade['orig_detach']) * factor) + (trade['orig_attach'] - trade['orig_detach'])) trade['curr_notional'] = trade['notional'] * tranche_factor else: trade['curr_notional'] = trade['notional'] * factor |