diff options
Diffstat (limited to 'python')
| -rw-r--r-- | python/analytics/tranche_basket.py | 2 |
1 files changed, 1 insertions, 1 deletions
diff --git a/python/analytics/tranche_basket.py b/python/analytics/tranche_basket.py index 64e8896a..7742b5d5 100644 --- a/python/analytics/tranche_basket.py +++ b/python/analytics/tranche_basket.py @@ -580,7 +580,7 @@ class DualCorrTranche: * float(self._index.duration()) / analytics._ontr.risky_annuity ) - if self.index_type != "HY": + if self.index_type not in ["HY", "BS"]: risk *= analytics._beta[self.index_type] return risk |