diff options
Diffstat (limited to 'python/analytics/option.py')
| -rw-r--r-- | python/analytics/option.py | 6 |
1 files changed, 2 insertions, 4 deletions
diff --git a/python/analytics/option.py b/python/analytics/option.py index 7d5c8a7b..c0989814 100644 --- a/python/analytics/option.py +++ b/python/analytics/option.py @@ -1,5 +1,3 @@ -from __future__ import division - import bottleneck as bn import datetime import math @@ -597,7 +595,7 @@ def _calibrate_model(index, quotes, option_type, option_model, if interp_method == "bivariate_spline": T = [np.full(len(data), t) for t, data in zip(T, r)] r = np.concatenate(r) - vol = r[:,0] + vol = r[:, 0] non_nan = ~np.isnan(vol) vol = vol[non_nan] time = np.hstack(T)[non_nan] @@ -659,7 +657,7 @@ class ModelBasedVolSurface(VolSurface): quotes = self._quotes[(self._quotes.quotedate == quotedate) & (self._quotes.quote_source == source)] quotes = quotes.dropna(subset= - ['pay_mid' if option_type == "payer" else 'rec_mid']) + ['pay_mid' if option_type == "payer" else 'rec_mid']) self._index.ref = quotes.ref.iat[0] self._index_refs[surface_id] = quotes.ref.iat[0] self._surfaces[surface_id] = _calibrate(self._index, quotes, |