diff options
Diffstat (limited to 'python/analytics/option.py')
| -rw-r--r-- | python/analytics/option.py | 2 |
1 files changed, 1 insertions, 1 deletions
diff --git a/python/analytics/option.py b/python/analytics/option.py index 34f1b7a0..a714ae17 100644 --- a/python/analytics/option.py +++ b/python/analytics/option.py @@ -352,7 +352,7 @@ class BlackSwaption(ForwardIndex): actual_params = [p for p in params if hasattr(self, p)] for ss in spread_shock: self.index.spread = orig_spread * (1 + ss) - curr_vol = vol_surface.ev(self.T, self.moneyness) + curr_vol = vol_surface.ev(self.T, math.log(self.moneyness)) for vs in vol_shock: self.sigma = curr_vol * (1 + vs) r.append([getattr(self, p) for p in actual_params]) |