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Update test_FinCDSTranche.py
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unit_tests/test_FinCDSTranche.py

Lines changed: 3 additions & 3 deletions
Original file line numberDiff line numberDiff line change
@@ -97,7 +97,7 @@ def test_homogeneous():
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def test_heterogeneous():
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num_points = 40
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num_points = 200
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issuer_curves = load_hetero_spread_curves(value_dt, libor_curve)
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@@ -120,13 +120,13 @@ def test_heterogeneous():
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v = tranche2.value_bc(
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value_dt, issuer_curves, upfront, spd, corr1, corr2, num_points, method
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)
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assert round(v[3] * 10000, 4) == 173.4324
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assert round(v[3] * 10000, 4) == 173.4577
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method = FinLossDistributionBuilder.GAUSSIAN
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v = tranche4.value_bc(
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value_dt, issuer_curves, upfront, spd, corr1, corr2, num_points, method
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)
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assert round(v[3] * 10000, 4) == 16.1762
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assert round(v[3] * 10000, 4) == 16.1754
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method = FinLossDistributionBuilder.LHP
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v = tranche6.value_bc(

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