diff options
| -rw-r--r-- | python/analytics/option.py | 4 | ||||
| -rw-r--r-- | python/analytics/utils.py | 4 |
2 files changed, 3 insertions, 5 deletions
diff --git a/python/analytics/option.py b/python/analytics/option.py index 899ec07e..5c8ed485 100644 --- a/python/analytics/option.py +++ b/python/analytics/option.py @@ -131,9 +131,7 @@ class BlackSwaption(ForwardIndex): ind.mark() if kwargs.pop("use_external", False): try: - self.pv = get_external_nav( - dawn_engine, self._trade_id, self.value_date, "swaptions" - ) + self.pv = get_external_nav(dawn_engine, self._trade_id, self.value_date) except ValueError as e: warnings.warn(str(e)) self.sigma = 0 diff --git a/python/analytics/utils.py b/python/analytics/utils.py index acfab1de..68edb125 100644 --- a/python/analytics/utils.py +++ b/python/analytics/utils.py @@ -172,8 +172,8 @@ def to_TDate(arr: np.ndarray): return arr.view("int") + 134774 -def get_external_nav(engine, trade_id, value_date=None, trade_type="swaption"): - if trade_type == "swaption": +def get_external_nav(engine, trade_id, value_date=None, trade_type="swaptions"): + if trade_type == "swaptions": upfront_query = ( "CASE when date < settle_date " "THEN price * notional/100 * (2 * buysell::integer - 1) " |