diff options
Diffstat (limited to 'python')
| -rw-r--r-- | python/analytics/tranche_basket.py | 8 |
1 files changed, 5 insertions, 3 deletions
diff --git a/python/analytics/tranche_basket.py b/python/analytics/tranche_basket.py index ee7f25ca..f6b87dd1 100644 --- a/python/analytics/tranche_basket.py +++ b/python/analytics/tranche_basket.py @@ -308,7 +308,10 @@ class TrancheBasket(BasketIndex): self.tenor = tenor index_desc = self.index_desc.reset_index('maturity').set_index('tenor') self.maturity = index_desc.loc[tenor].maturity.date() - self._get_tranche_quotes(value_date) + try: + self._get_tranche_quotes(value_date) + except ValueError as e: + raise ValueError(f"no tranche quotes available for date {value_date}") from e self.K_orig = np.hstack((0., self.tranche_quotes.detach)) / 100 self.K = adjust_attachments(self.K_orig, self.cumloss, self.factor) self._Ngh = 250 @@ -369,9 +372,9 @@ class TrancheBasket(BasketIndex): 1, self.yc, self.maturity) try: self._get_tranche_quotes(d) - except ValueError as e: self._accrued = np.array([cds_accrued(self.value_date, r) for r in self.tranche_quotes.running]) + except ValueError as e: raise ValueError(f"no tranche quotes available for date {d}") from e @@ -593,7 +596,6 @@ class TrancheBasket(BasketIndex): def aux(rho, obj, K, quote, spread, complement): cl, pl = obj.tranche_legs(K, rho, complement) return pl + cl * spread + quote - if skew_type == "bottomup": for j in range(len(dK) - 1): cl, pl = self.tranche_legs(self.K[j], self.rho[j]) |