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 fe60d2d5..02598665 100644 --- a/python/analytics/option.py +++ b/python/analytics/option.py @@ -39,7 +39,7 @@ def calib(S0, fp, exercise_date : datetime.date, exercise_date_settle :datetime. def ATMstrike(index, exercise_date : datetime.date): exercise_date_settle = (pd.Timestamp(exercise_date) + 3* BDay()).date() - fp = index.forward_pv(exercise_date) + fp = index.forward_pv(exercise_date) / index.notional closure = lambda S: g(index, S, exercise_date) - fp eta = 1.1 a = index.spread |