diff options
Diffstat (limited to 'python')
| -rw-r--r-- | python/analytics/tranche_basket.py | 14 |
1 files changed, 5 insertions, 9 deletions
diff --git a/python/analytics/tranche_basket.py b/python/analytics/tranche_basket.py index 1812e936..a356cd9e 100644 --- a/python/analytics/tranche_basket.py +++ b/python/analytics/tranche_basket.py @@ -1136,7 +1136,9 @@ class TrancheBasket(BasketIndex): break elif skew_type == "topdown": for j in range(len(dK) - 1, 0, -1): - cl, pl = self.tranche_legs(self.K[j + 1], self.rho[j + 1]) + cl, pl = self.tranche_legs( + self.K[j + 1], self.rho[j + 1], complement=True + ) q = ( self.tranche_quotes.quotes.iat[j] * dK[j] - pl @@ -1146,17 +1148,11 @@ class TrancheBasket(BasketIndex): aux, 0.0, 1.0, - args=( - self, - self.K[j], - q, - self.tranche_quotes.running.iat[j], - False, - ), + args=(self, self.K[j], q, self.tranche_quotes.running.iat[j], True), full_output=True, ) if r.converged: - self.rho[j + 1] = x0 + self.rho[j] = x0 else: print(r.flag) break |