diff options
Diffstat (limited to 'python/analytics/option.py')
| -rw-r--r-- | python/analytics/option.py | 6 |
1 files changed, 4 insertions, 2 deletions
diff --git a/python/analytics/option.py b/python/analytics/option.py index 7d90a4fb..b6a4cf35 100644 --- a/python/analytics/option.py +++ b/python/analytics/option.py @@ -36,7 +36,9 @@ def ATMstrike(index, exercise_date : datetime.date): return brentq(closure, a, b) class Swaption(ForwardIndex): - def __init__(self, index, exercise_date : datetime.date, strike : float, option_type="payer"): + """Swaption class""" + def __init__(self, index, exercise_date : datetime.date, strike : float, + option_type="payer"): ForwardIndex.__init__(self, index, exercise_date) self._exercise_date = exercise_date self._forward_yc = roll_yc(index._yc, exercise_date) @@ -115,7 +117,7 @@ class Swaption(ForwardIndex): def handle(x): self.sigma = x return self.pv - val - # use sigma as a starting point + # use sigma_black as a starting point self.pv_black = val eta = 1.1 a = self.sigma |