1 files changed, 10 insertions, 0 deletions
diff --git a/python/analytics/option.py b/python/analytics/option.py
index 5378b0ce..ef2c43bb 100644
--- a/python/analytics/option.py
+++ b/python/analytics/option.py
@@ -208,6 +208,16 @@ class BlackSwaption(ForwardIndex):
             b *= eta
         self.sigma = brentq(handle, a, b)
 
+    def set_original_pv(self):
+        self._original_pv = self.pv
+
+    @property
+    def pnl(self):
+        if self._original_pv is None:
+            raise ValueError("original pv not set")
+        else:
+            return self.pv - self._original_pv
+
     @property
     def delta(self):
         old_index_pv = self.index.pv