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Diffstat (limited to 'python/analytics/option.py')
| -rw-r--r-- | python/analytics/option.py | 5 |
1 files changed, 4 insertions, 1 deletions
diff --git a/python/analytics/option.py b/python/analytics/option.py index 0452e77e..69e600f0 100644 --- a/python/analytics/option.py +++ b/python/analytics/option.py @@ -122,7 +122,10 @@ class BlackSwaption(ForwardIndex): instance.notional = rec.notional instance.price = rec.price instance._original_pv = instance.pv - instance._orig_params = (rec.strike, index.factor, index.cumloss) + if trade_id == 128: + instance._orig_params = (rec.strike, 0.99, 0.9075) + else: + instance._orig_params = (rec.strike, index.factor, index.cumloss) instance._trade_id = trade_id return instance |