diff options
| -rw-r--r-- | python/analytics/option.py | 2 |
1 files changed, 1 insertions, 1 deletions
diff --git a/python/analytics/option.py b/python/analytics/option.py index 9a544162..8c84b61e 100644 --- a/python/analytics/option.py +++ b/python/analytics/option.py @@ -99,7 +99,7 @@ class Swaption(ForwardIndex): def handle(S, index, forward_date, forward_yc): return g(index, S, forward_date, forward_yc) - self._G eta = 1.2 - a = 250 + a = 225 b = eta * a while True: if handle(b, self.index, self.exercise_date, self._forward_yc) > 0: |