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| -rw-r--r-- | python/analytics/option.py | 5 |
1 files changed, 5 insertions, 0 deletions
diff --git a/python/analytics/option.py b/python/analytics/option.py index b2d04618..92836d7c 100644 --- a/python/analytics/option.py +++ b/python/analytics/option.py @@ -580,6 +580,11 @@ class Swaption(BlackSwaption): pv_black = property(None, __setpv_black) + def __setprice_black(self, p): + self.pv_black = p * 1e-2 * self.notional * self.index.factor * self._direction + + price_black = property(None, __setprice_black) + def _get_keys(df, models=["black", "precise"]): for quotedate, source in ( |