1 files changed, 28 insertions, 8 deletions
diff --git a/python/analytics/ir_swaption.py b/python/analytics/ir_swaption.py
index a83b6cd8..77485a31 100644
--- a/python/analytics/ir_swaption.py
+++ b/python/analytics/ir_swaption.py
@@ -5,7 +5,7 @@ from quantlib.time.api import Date, Period, Years, pydate_from_qldate
 from quantlib.instruments.api import MakeSwaption
 from quantlib.instruments.swap import SwapType
 from quantlib.pricingengines.api import BlackSwaptionEngine
-from quantlib.settings import Settings
+from scipy.optimize import brentq
 from yieldcurve import YC
 
 
@@ -55,6 +55,21 @@ class IRSwaption:
     def pv(self):
         return self._direction * self._qloption.npv
 
+    @pv.setter
+    def pv(self, val):
+        def handle(x):
+            self.sigma = x
+            return self._direction * (self.pv - val)
+
+        eta = 1.1
+        a = 0.1
+        b = a * eta
+        while True:
+            if handle(b) > 0:
+                break
+            b *= eta
+        self.sigma = brentq(handle, a, b)
+
     @property
     def sigma(self):
         return self._sigma.value
@@ -68,17 +83,18 @@ class IRSwaption:
             with conn.cursor() as c:
                 c.execute("SELECT * from swaptions " "WHERE id = %s", (trade_id,))
                 rec = c.fetchone()
-        yc = YC(evaluation_date=rec["trade_date"], fixed=True)
-        p = Period(int(rec["security_id"].replace("USISDA", "")), Years)
+        yc = YC(evaluation_date=rec.trade_date, fixed=True, extrapolation=True)
+        p = Period(int(rec.security_id.replace("USISDA", "")), Years)
         swap_index = UsdLiborSwapIsdaFixAm(p, yc)
         instance = IRSwaption(
             swap_index,
-            Date.from_datetime(rec["expiration_date"]),
-            rec["strike"],
-            rec["option_type"],
-            rec["buysell"],
-            rec["notional"],
+            Date.from_datetime(rec.expiration_date),
+            rec.strike,
+            rec.option_type,
+            rec.buysell,
+            rec.notional,
         )
+        instance.pv = rec.price / 100 * rec.notional * instance._direction
         return instance
 
     @property
@@ -88,3 +104,7 @@ class IRSwaption:
     @value_date.setter
     def value_date(self, d):
         self.yc.link_to(YC(evaluation_date=d, fixed=True))
+
+    @property
+    def strike(self):
+        return self._qloption.underlying_swap().fixed_rate