diff options
Diffstat (limited to 'python/analytics/option.py')
| -rw-r--r-- | python/analytics/option.py | 22 |
1 files changed, 4 insertions, 18 deletions
diff --git a/python/analytics/option.py b/python/analytics/option.py index ef931701..1669803a 100644 --- a/python/analytics/option.py +++ b/python/analytics/option.py @@ -319,6 +319,9 @@ class BlackSwaption(ForwardIndex): def pv(self, val): if np.isnan(val): raise ValueError("val is nan") + # early exit + if self.sigma is not None and abs(self.pv - val) < 1e-12: + return if self._direction * (val - self.intrinsic_value) < 0: raise ValueError( f"{val}: is less than intrinsic value: {self.intrinsic_value}" @@ -571,7 +574,7 @@ class Swaption(BlackSwaption): @pv.setter def pv(self, val): # use sigma_black as a starting point - self.pv_black = val + BlackSwaption.pv.fset(self, val) if self.sigma == 0.0: self.sigma = 1e-6 @@ -592,23 +595,6 @@ class Swaption(BlackSwaption): b *= eta self.sigma = brentq(handle, a, b) - def __setpv_black(self, val): - black_self = BlackSwaption.__new__(BlackSwaption) - for k in chain.from_iterable( - c.__slots__ for c in type(black_self).__mro__[:-1] - ): - if k != "__weakref__": - setattr(black_self, k, getattr(self, k)) - black_self.pv = val - self.sigma = black_self.sigma - - pv_black = property(None, __setpv_black) - - def __setprice_black(self, p): - self.pv_black = p * 1e-2 * self.notional * self.index.factor * self._direction - - price_black = property(None, __setprice_black) - def _get_keys(df, models=["black", "precise"]): for quotedate, source in ( |