diff options
Diffstat (limited to 'python/analytics/option.py')
| -rw-r--r-- | python/analytics/option.py | 5 |
1 files changed, 2 insertions, 3 deletions
diff --git a/python/analytics/option.py b/python/analytics/option.py index 4721dfbc..949ea224 100644 --- a/python/analytics/option.py +++ b/python/analytics/option.py @@ -596,7 +596,6 @@ class ModelBasedVolSurface(VolSurface): ax.set_ylabel("Moneyness") ax.set_zlabel("Volatility") - class BlackSwaptionVolSurface(ModelBasedVolSurface): pass @@ -702,10 +701,10 @@ def calib_sabr(x, option, strikes, pv, beta): r[i] = option.pv - pv[i] return r -class SABRVolatilitySurface(VolatilitySurface): +class SABRVolSurface(VolSurface): def __init__(self, index_type, series, tenor='5yr', trade_date=datetime.date.today(), beta=None): - VolatilitySurface.__init__(self, index_type, series, tenor='5yr', + VolSurface.__init__(self, index_type, series, tenor='5yr', trade_date=datetime.date.today()) if index_type == "HY": self.beta = 3.19 |