diff options
| -rw-r--r-- | python/tests/test_cms_spread.py | 4 |
1 files changed, 3 insertions, 1 deletions
diff --git a/python/tests/test_cms_spread.py b/python/tests/test_cms_spread.py index 457d8fbd..3a88badb 100644 --- a/python/tests/test_cms_spread.py +++ b/python/tests/test_cms_spread.py @@ -66,7 +66,9 @@ class TestCmsSpread(unittest.TestCase): μ = SimpleQuote(0.1) ρ = SimpleQuote(0.8) cms_pricer = AnalyticHaganPricer(atm_vol, YieldCurveModel.Standard, μ) - params = get_params(self.cms2y, self.cms30y, cms_pricer, atm_vol) + self.cms2y.set_pricer(cms_pricer) + self.cms30y.set_pricer(cms_pricer) + params = get_params(self.cms2y, self.cms30y, atm_vol) x, w = roots_hermitenorm(16) val_call = 1 / math.sqrt(2 * math.pi) * np.dot(w, h_call(x, self.cap, *params, ρ.value)) |