diff options
Diffstat (limited to 'python/analytics/option.py')
| -rw-r--r-- | python/analytics/option.py | 11 |
1 files changed, 10 insertions, 1 deletions
diff --git a/python/analytics/option.py b/python/analytics/option.py index eecb9997..2930796e 100644 --- a/python/analytics/option.py +++ b/python/analytics/option.py @@ -3,6 +3,8 @@ import datetime import math import numpy as np import pandas as pd +import analytics + from db import dbengine from .black import black, Nx @@ -262,13 +264,20 @@ class BlackSwaption(ForwardIndex): self._update() notional_ratio = self.index.notional / self.notional dv01 = self.pv - old_pv - delta = -self.index._direction * dv01 * notional_ratio / \ + delta = self.index._direction * dv01 * notional_ratio / \ (self.index.pv - old_index_pv) self.index.spread = old_spread self._update() return delta @property + def hy_equiv(self): + risk = self.delta * abs(self.index.hy_equiv/ \ + self.index.notional) * self.notional + risk *= -1 if self.option_type == 'payer' else 1 + return -risk if self.direction == 'Short' else risk + + @property def T(self): if self._T: return self._T |