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Diffstat (limited to 'python/analytics/option.py')
| -rw-r--r-- | python/analytics/option.py | 3 |
1 files changed, 3 insertions, 0 deletions
diff --git a/python/analytics/option.py b/python/analytics/option.py index ff22f018..b66dc1ca 100644 --- a/python/analytics/option.py +++ b/python/analytics/option.py @@ -135,6 +135,9 @@ class BlackSwaption(ForwardIndex): ind.mark(ref=kwargs.pop("ref")) else: ind.mark() + if self._trade_id == 116: + self.sigma = 0.4 + return if kwargs.pop("use_external", False): try: self.pv = get_external_nav(dawn_engine, self._trade_id, self.value_date) |