diff options
Diffstat (limited to 'python/analytics/option.py')
| -rw-r--r-- | python/analytics/option.py | 9 |
1 files changed, 3 insertions, 6 deletions
diff --git a/python/analytics/option.py b/python/analytics/option.py index 6bde2b26..81ff3bec 100644 --- a/python/analytics/option.py +++ b/python/analytics/option.py @@ -269,18 +269,15 @@ class BlackSwaption(ForwardIndex): self._update() notional_ratio = self.index.notional / self.notional dv01 = self.pv - old_pv - delta = self.index._direction * dv01 * notional_ratio / \ - (self.index.pv - old_index_pv) + delta = dv01 * notional_ratio / (self.index.pv - old_index_pv) self.index.spread = old_spread self._update() return delta @property def hy_equiv(self): - risk = self.delta * abs(self.index.hy_equiv/ \ - self.index.notional) * self.notional - risk *= -1 if self.option_type == 'payer' else 1 - return -risk if self.direction == 'Short' else risk + return self.delta * abs(self.index.hy_equiv/ + self.index.notional) * self.notional @property def T(self): |