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Diffstat (limited to 'python/analytics/option.py')
| -rw-r--r-- | python/analytics/option.py | 3 |
1 files changed, 2 insertions, 1 deletions
diff --git a/python/analytics/option.py b/python/analytics/option.py index 40cc5c9a..4db3d1dc 100644 --- a/python/analytics/option.py +++ b/python/analytics/option.py @@ -140,7 +140,8 @@ class BlackSwaption(ForwardIndex): @property def moneyness(self): - return self.strike / self.atm_strike + return self._strike / g(self.index, self.index.fixed_rate, self.exercise_date, + pv=self.forward_pv) @property def direction(self): |