diff options
| -rw-r--r-- | python/citco_monitor.py | 2 |
1 files changed, 1 insertions, 1 deletions
diff --git a/python/citco_monitor.py b/python/citco_monitor.py index c08a9854..29c0369a 100644 --- a/python/citco_monitor.py +++ b/python/citco_monitor.py @@ -111,7 +111,7 @@ def notify_swaption_exercise(expiration_date, fund, conn): for row in c: d = row._asdict() if d["security_desc"].startswith("CDX IG"): - d["strike"] /= 1000 + d["strike"] /= 100 d["putcall"] = "PUT" if d["option_type"] == "PAYER" else "CALL" d["notional"] = d["notional"] * (1 if d["buysell"] else -1) d["swaption_fix_id"] = d["dealid"] |