diff options
Diffstat (limited to 'python')
| -rw-r--r-- | python/analytics/tranche_basket.py | 4 |
1 files changed, 2 insertions, 2 deletions
diff --git a/python/analytics/tranche_basket.py b/python/analytics/tranche_basket.py index 6f294757..de1ba315 100644 --- a/python/analytics/tranche_basket.py +++ b/python/analytics/tranche_basket.py @@ -621,8 +621,8 @@ class TrancheBasket(BasketIndex): raise ValueError(f"no tranche quotes available for date {d}") from e @property - def skew(self): - return (self.expected_loss(), self._skew) + def skew(self) -> Skew: + return Skew(self.expected_loss(), self._skew) def tranche_factors(self): return np.diff(self.K) / np.diff(self.K_orig) * self.factor |