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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 75d54a92..c12fc816 100644 --- a/python/analytics/option.py +++ b/python/analytics/option.py @@ -92,7 +92,7 @@ class BlackSwaption(ForwardIndex): rec = r.fetchone() if rec is None: return ValueError("trade_id doesn't exist") - index = Index.from_name(redcode=rec.security_id, trade_date=rec.trade_date) + index = Index.from_name(redcode=rec.security_id, maturity=rec.maturity, trade_date=rec.trade_date) index.spread = 62 instance = cls(index, rec.expiration_date, rec.strike, rec.swaption_type.lower()) instance.notional = rec.notional |