diff options
Diffstat (limited to 'python/analytics/option.py')
| -rw-r--r-- | python/analytics/option.py | 5 |
1 files changed, 4 insertions, 1 deletions
diff --git a/python/analytics/option.py b/python/analytics/option.py index 898742bb..803f6500 100644 --- a/python/analytics/option.py +++ b/python/analytics/option.py @@ -437,7 +437,10 @@ class Swaption(BlackSwaption): Zstar = (math.log(self._strike / S0) + 0.5 * sigmaT**2) / sigmaT if self.option_type == "payer": - val, err = quad(my_pv, Zstar, 12) + try: + val, err = quad(my_pv, Zstar, 12) + except SystemError: + val, err = quad(my_pv, Zstar, 10) elif self.option_type == "receiver": val, err = quad(my_pv, Zstar, -12) return self._direction * self.notional * val * self.df * self.index.factor |