diff options
Diffstat (limited to 'python')
| -rw-r--r-- | python/analytics/tranche_basket.py | 2 | ||||
| -rw-r--r-- | python/calibrate_tranches_BC.py | 1 |
2 files changed, 1 insertions, 2 deletions
diff --git a/python/analytics/tranche_basket.py b/python/analytics/tranche_basket.py index c8b11dbe..63daddff 100644 --- a/python/analytics/tranche_basket.py +++ b/python/analytics/tranche_basket.py @@ -1116,7 +1116,7 @@ class TrancheBasket(BasketIndex): cl = coupons @ (sizeadj * df) bp = 1 + cl * self.coupon(self.maturity) + pl if clean: - accrued = self.accrued() + accrued = self.accrued(self.maturity) cl -= accrued / self.coupon(self.maturity) bp -= self.accrued(self.maturity) return self._Legs(cl, pl, bp) diff --git a/python/calibrate_tranches_BC.py b/python/calibrate_tranches_BC.py index 6e405e9d..ecf18383 100644 --- a/python/calibrate_tranches_BC.py +++ b/python/calibrate_tranches_BC.py @@ -201,7 +201,6 @@ if __name__ == "__main__": df["index_price"], ) = tranche_index.index_pv(clean=True) df["index_expected_loss"] *= -1 - df["index_duration"] -= tranche_index.accrued() df["index_basis"] = tranche_index.tweaks[0] df["index_theta"] = tranche_index.theta()[tenor] df["tranche_id"] = tranche_index.tranche_quotes.id.values |