diff options
Diffstat (limited to 'python')
| -rw-r--r-- | python/calibrate_tranches_BC.py | 4 |
1 files changed, 4 insertions, 0 deletions
diff --git a/python/calibrate_tranches_BC.py b/python/calibrate_tranches_BC.py index b72ebbcb..1c2f4130 100644 --- a/python/calibrate_tranches_BC.py +++ b/python/calibrate_tranches_BC.py @@ -208,6 +208,10 @@ if __name__ == "__main__": df["corr_at_detach"] = tranche_index.rho[1:] df["corr01"] = tranche_index.tranche_corr01() del df["fwd_gamma"] + df["quote_price"] = ( + 1 - tranche_index.tranche_quotes.quotes.values - tranche_index._accrued + ) + df["calibrated_price"] = tranche_index.tranche_pvs().bond_price data[d] = df if data: |