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Diffstat (limited to 'python/analytics/option.py')
| -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 e2177d6d..4a61e90f 100644 --- a/python/analytics/option.py +++ b/python/analytics/option.py @@ -148,7 +148,7 @@ class Swaption(ForwardIndex): args = (self.forward_pv, self.exercise_date, self.exercise_date_settle, self.index, self._forward_yc, tilt, self._w) eta = 1.05 - a = self.index.spread + a = self.index.spread * 0.99 b = a * eta while True: if calib(*((b,) + args)) > 0: |