diff options
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 e016a066..4e04e657 100644 --- a/python/analytics/option.py +++ b/python/analytics/option.py @@ -115,7 +115,7 @@ class Swaption: """compute pv using black-scholes formula""" df = self.index._yc.discount_factor(self.exercise_date_settle) forward_annuity = self.index.forward_annuity(self.exercise_date) - DA_forward_spread = fp / forward_annuity + self.index.fixed_rate * 1e-4 + DA_forward_spread = self._fp / forward_annuity * df + self.index.fixed_rate * 1e-4 strike_tilde = self.index.fixed_rate * 1e-4 + self._G / forward_annuity * df return forward_annuity * black(DA_forward_spread, strike_tilde, |