diff options
Diffstat (limited to 'python')
| -rw-r--r-- | python/cds_curve.py | 2 |
1 files changed, 1 insertions, 1 deletions
diff --git a/python/cds_curve.py b/python/cds_curve.py index 2d9c3dbe..3e44810c 100644 --- a/python/cds_curve.py +++ b/python/cds_curve.py @@ -157,7 +157,7 @@ def calibrate_portfolio(index_type, series, tenors=['3yr', '5yr', '7yr', '10yr'] eps = brentq(lambda epsilon: index.pv(step_in_date, value_date, m, jp_yc, recovery, coupon, epsilon) - - index_quote, -0.35, 0.3) + index_quote, -0.5, 0.3) #tweak the curves in place index.tweak_portfolio(eps, m) duration.append(index.duration(step_in_date, value_date, m, jp_yc)) |