diff options
Diffstat (limited to 'python/analytics/option.py')
| -rw-r--r-- | python/analytics/option.py | 18 |
1 files changed, 8 insertions, 10 deletions
diff --git a/python/analytics/option.py b/python/analytics/option.py index e931d626..4fcc5023 100644 --- a/python/analytics/option.py +++ b/python/analytics/option.py @@ -48,7 +48,7 @@ def memoize(f): return v return cached_f -def ATMstrike(index, exercise_date, price=False): +def ATMstrike(index, exercise_date): """computes the at-the-money strike. Parameters @@ -60,9 +60,9 @@ def ATMstrike(index, exercise_date, price=False): price : bool, defaults to False If price is true return a strike price, returns a spread otherwise. """ - fi = ForwardIndex(index, exercise_date, price) + fi = ForwardIndex(index, exercise_date) fp = fi.forward_pv - if price: + if index._quote_is_price: return 100 * (1 - fp) else: closure = lambda S: g(index, S, exercise_date) - fp @@ -77,13 +77,11 @@ def ATMstrike(index, exercise_date, price=False): class Swaption(ForwardIndex): """Swaption class""" - def __init__(self, index, exercise_date, strike, - option_type="payer", strike_is_price=False): - ForwardIndex.__init__(self, index, exercise_date, strike_is_price) + def __init__(self, index, exercise_date, strike, option_type="payer"): + ForwardIndex.__init__(self, index, exercise_date) self._exercise_date = exercise_date self._forward_yc = roll_yc(index._yc, exercise_date) self._T = None - self._strike_is_price = strike_is_price self.strike = strike self.option_type = option_type.lower() self._Z, self._w = GHquad(50) @@ -104,14 +102,14 @@ class Swaption(ForwardIndex): @property def strike(self): - if self._strike_is_price: + if self.index._quote_is_price: return 100 * (1 - self._G) else: return self._strike @strike.setter def strike(self, K): - if self._strike_is_price: + if self.index._quote_is_price: self._G = (100 - K) / 100 # we compute the corresponding spread to the strike price def handle(S, index, forward_date, forward_yc): @@ -294,7 +292,7 @@ class Swaption(ForwardIndex): @property def breakeven(self): pv = self.pv / self.notional - if self._strike_is_price: + if self.index._quote_is_price: if self.option_type == "payer": return 100-(self._G + pv)*100 else: |