diff options
Diffstat (limited to 'python/analytics/option.py')
| -rw-r--r-- | python/analytics/option.py | 10 |
1 files changed, 4 insertions, 6 deletions
diff --git a/python/analytics/option.py b/python/analytics/option.py index e2bafee8..7d5c8a7b 100644 --- a/python/analytics/option.py +++ b/python/analytics/option.py @@ -610,11 +610,8 @@ def _calibrate_model(index, quotes, option_type, option_model, non_nan = ~np.isnan(vol) vol = vol[non_nan] moneyness = np.log(data[non_nan,1]) - if moneyness.size <= 5: - interp_kind = 'linear' - else: - interp_kind = 'cubic' - h.append(interp1d(moneyness, vol, kind=interp_kind, fill_value="extrapolate")) + h.append(interp1d(moneyness, vol, + kind='linear', fill_value="extrapolate")) return BivariateLinearFunction(T, h) else: raise ValueError("interp_method needs to be one of 'bivariate_spline' or 'bivariate_linear'") @@ -645,7 +642,8 @@ class ModelBasedVolSurface(VolSurface): elif type(self) is SABRVolSurface: self._opts = {'beta': 3.19 if index_type == "HY" else 1.84} else: - raise TypeError("class needs to be SwaptionVolSurface, BlackSwaptionVolSurface or SABRVolSurface") + raise TypeError("class needs to be SwaptionVolSurface, " + "BlackSwaptionVolSurface or SABRVolSurface") def list(self, source=None, option_type=None): """returns list of vol surfaces""" |