diff options
| -rw-r--r-- | python/analytics/option.py | 5 |
1 files changed, 3 insertions, 2 deletions
diff --git a/python/analytics/option.py b/python/analytics/option.py index f151335f..ce47bd9c 100644 --- a/python/analytics/option.py +++ b/python/analytics/option.py @@ -88,9 +88,10 @@ class Swaption: (self.sigma * math.sqrt(T)) if self.option_type == "payer": - Z = Zstar + np.logspace(0, 1.5, 300) - 1 + Z = Zstar + np.logspace(0, math.log(4 / (self.sigma * math.sqrt(T)), 10), 300) - 1 + #Z = Zstar + np.logspace(0, 1.5, 300) - 1 elif self.option_type == "receiver": - Z = Zstar - np.logspace(0, 1.5, 300) + 1 + Z = Zstar - np.logspace(0, math.log(4 / (self.sigma * math.sqrt(T)), 10), 300) + 1 else: raise ValueError("option_type needs to be either 'payer' or 'receiver'") S = S0 * np.exp(-self.sigma**2/2 * T + self.sigma * Z * math.sqrt(T)) |