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Diffstat (limited to 'python/analytics/option.py')
| -rw-r--r-- | python/analytics/option.py | 6 |
1 files changed, 5 insertions, 1 deletions
diff --git a/python/analytics/option.py b/python/analytics/option.py index 449ea273..898742bb 100644 --- a/python/analytics/option.py +++ b/python/analytics/option.py @@ -111,7 +111,11 @@ class BlackSwaption(ForwardIndex): else: raise ValueError("No market data available for this day") surface_id = vs.list(source, self.option_type)[-1] - self.sigma = float(vs[surface_id](self.T, np.log(self.moneyness))) + try: + self.sigma = float(vs[surface_id](self.T, np.log(self.moneyness))) + except ValueError: + surface_id = vs.list(source, "receiver")[-1] + self.sigma = float(vs[surface_id](self.T, np.log(self.moneyness))) @property def value_date(self): |