diff options
Diffstat (limited to 'python')
| -rw-r--r-- | python/analytics/tranche_basket.py | 6 |
1 files changed, 3 insertions, 3 deletions
diff --git a/python/analytics/tranche_basket.py b/python/analytics/tranche_basket.py index 88cfbea0..48353b46 100644 --- a/python/analytics/tranche_basket.py +++ b/python/analytics/tranche_basket.py @@ -872,8 +872,9 @@ class TrancheBasket(BasketIndex): 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)}) + return pd.DataFrame({"fwd_delta": np.nan, + "fwd_gamma": np.nan}, + index=self._row_names) index_short.rho = self.map_skew(index_short, method) df = index_short.tranche_deltas() df.columns = ['fwd_delta', 'fwd_gamma'] @@ -988,7 +989,6 @@ class TrancheBasket(BasketIndex): b = find_upper_bound(self, el1, index2, el2, K2, shortened) moneyness1_eq.append(brentq(aux, 0., b, (self, el1, index2, el2, K2, shortened)) / el1) - K1eq = np.array(K1eq) elif method == "PM": moneyness1_eq = [] for K2 in index2.K[1:-1]: |