diff options
Diffstat (limited to 'python/analytics/option.py')
| -rw-r--r-- | python/analytics/option.py | 3 |
1 files changed, 2 insertions, 1 deletions
diff --git a/python/analytics/option.py b/python/analytics/option.py index 9d7cab0e..a0c00167 100644 --- a/python/analytics/option.py +++ b/python/analytics/option.py @@ -74,7 +74,7 @@ class BlackSwaption(ForwardIndex): def __init__(self, index, exercise_date, strike, option_type="payer", direction="Long"): - ForwardIndex.__init__(self, index, exercise_date) + ForwardIndex.__init__(self, index, exercise_date, False) self._forward_yc = roll_yc(index._yc, exercise_date) self._T = None self.strike = strike @@ -83,6 +83,7 @@ class BlackSwaption(ForwardIndex): self.sigma = None self._original_pv = None self.direction = direction + index.observe(self) @classmethod def from_tradeid(cls, trade_id, index=None): |