diff options
| -rw-r--r-- | python/analytics/option.py | 12 |
1 files changed, 6 insertions, 6 deletions
diff --git a/python/analytics/option.py b/python/analytics/option.py index 4cf52140..79ba4d96 100644 --- a/python/analytics/option.py +++ b/python/analytics/option.py @@ -96,12 +96,12 @@ class BlackSwaption(ForwardIndex): if rec is None: return ValueError("trade_id doesn't exist") index = Index.from_name(redcode=rec.security_id, maturity=rec.maturity, trade_date=rec.trade_date) - index.spread = 62 + index.spread = rec.indexref instance = cls(index, rec.expiration_date, rec.strike, rec.swaption_type.lower(), direction="Long" if rec.buysell else "Short") instance.notional = rec.notional - instance.pv = rec.price * 1e-2 * rec.notional - instance._original_pv = rec.price * 1e-2 * rec.notional + instance.pv = rec.price * 1e-2 * rec.notional * (2 * rec.buysell - 1) + instance._original_pv = instance.pv return instance @property @@ -168,8 +168,8 @@ class BlackSwaption(ForwardIndex): return self._direction * intrinsic * self.notional def __hash__(self): - return hash((super().__hash__(), - tuple(getattr(self, k) for k in BlackSwaption.__slots__[:-1]))) + return hash((super().__hash__(), tuple(getattr(self, k) for k in \ + BlackSwaption.__slots__))) @property def pv(self): @@ -198,7 +198,7 @@ class BlackSwaption(ForwardIndex): def handle(x): self.sigma = x - return self.pv - val + return self._direction * (self.pv - val) eta = 1.01 a = 0.1 b = a * eta |