diff options
| -rw-r--r-- | python/mark_swaptions.py | 18 |
1 files changed, 7 insertions, 11 deletions
diff --git a/python/mark_swaptions.py b/python/mark_swaptions.py index 1623a181..0566e55d 100644 --- a/python/mark_swaptions.py +++ b/python/mark_swaptions.py @@ -65,19 +65,15 @@ def mark_trades(date, engine): underlying.ref = quote.ref swaption = Swaption(underlying, trade.expiration_date.date(), trade.strike, trade.swaption_type.lower()) - if swaption.option_type == "payer": - if quote.payer is None: - swaption.sigma = quote.receiver - else: - swaption.sigma = quote.payer - else: - if quote.receiver is None: - swaption.sigma = quote.payer - else: - swaption.sigma = quote.receiver + swaption.sigma = getattr(quote, swaption.option_type) + if swaption.sigma is None: + swaption.sigma = quote.receiver if option_type == "payer" else quote.payer direction = 1. if trade.buysell else -1. market_value = swaption.pv * trade.notional * direction - market_value += swaption.DV01 * (closespread - quote.ref) * trade.notional * direction + if trade.index in ["HY", "XO"]: + market_value += (quote.ref - closeprice) / 100 * swaption.delta * trade.notional * direction + else: + market_value += swaption.DV01 * (closespread - quote.ref) * trade.notional * direction #compute the greeks at index mark swaption.index.spread = closespread swaption._update() |