diff options
Diffstat (limited to 'python/analytics/option.py')
| -rw-r--r-- | python/analytics/option.py | 16 |
1 files changed, 1 insertions, 15 deletions
diff --git a/python/analytics/option.py b/python/analytics/option.py index 02598665..de59ea2b 100644 --- a/python/analytics/option.py +++ b/python/analytics/option.py @@ -6,6 +6,7 @@ import pandas as pd from .black import black from .utils import GHquad +from .index import g from yieldcurve import roll_yc from pandas.tseries.offsets import BDay from pyisda.curve import SpreadCurve @@ -13,21 +14,6 @@ from pyisda.flat_hazard import strike_vec from scipy.optimize import brentq from scipy.integrate import simps -def g(index, spread : float, exercise_date : datetime.date, use_rolled_curve = True): - """ computes the strike clean price using the expected forward yield curve """ - if use_rolled_curve: - rolled_curve = roll_yc(index._yc, exercise_date) - else: - rolled_curve = index._yc - step_in_date = exercise_date + datetime.timedelta(days=1) - exercise_date_settle = (pd.Timestamp(exercise_date) + 3* BDay()).date() - sc = SpreadCurve(exercise_date, rolled_curve, index.start_date, - step_in_date, exercise_date_settle, - [index.end_date], array.array('d', [spread * 1e-4]), - index.recovery) - a = index._fee_leg.pv(exercise_date, step_in_date, exercise_date_settle, - rolled_curve, sc, True) - return (spread - index.fixed_rate) * a *1e-4 def calib(S0, fp, exercise_date : datetime.date, exercise_date_settle :datetime.date, index, rolled_curve, tilt, w): |