diff options
Diffstat (limited to 'python/analytics/option.py')
| -rw-r--r-- | python/analytics/option.py | 4 |
1 files changed, 4 insertions, 0 deletions
diff --git a/python/analytics/option.py b/python/analytics/option.py index 1f250bb3..b05fe374 100644 --- a/python/analytics/option.py +++ b/python/analytics/option.py @@ -128,6 +128,8 @@ class Swaption(ForwardIndex): @pv.setter def pv(self, val: float): + if np.isnan(val): + raise ValueError("val is nan") if val < self.intrinsic_value: raise ValueError("{}: is less than intrinsic value: {}". format(val, self.intrinsic_value)) @@ -160,6 +162,8 @@ class Swaption(ForwardIndex): self.option_type) * self.notional @pv_black.setter def pv_black(self, val: float): + if np.isnan(val): + raise ValueError("val is nan") if val < self.intrinsic_value: raise ValueError("{}: is less than intrinsic value: {}". format(val, self.intrinsic_value)) |