diff options
Diffstat (limited to 'python/analytics/option.py')
| -rw-r--r-- | python/analytics/option.py | 6 |
1 files changed, 3 insertions, 3 deletions
diff --git a/python/analytics/option.py b/python/analytics/option.py index de59ea2b..f151335f 100644 --- a/python/analytics/option.py +++ b/python/analytics/option.py @@ -40,8 +40,8 @@ class Swaption: def __init__(self, index, exercise_date : datetime.date, strike : float, option_type="payer"): self.index = index self._exercise_date = exercise_date - self._forward_yc = roll_yc(self.index._yc, self.exercise_date) - self.exercise_date_settle = (pd.Timestamp(self.exercise_date) + 3* BDay()).date() + self._forward_yc = roll_yc(self.index._yc, exercise_date) + self.exercise_date_settle = (pd.Timestamp(exercise_date) + 3* BDay()).date() self._T = None self.strike = strike self.option_type = option_type.lower() @@ -56,7 +56,7 @@ class Swaption: def exercise_date(self, d : datetime.date): self._exercise_date = d self.exercise_date_settle = (pd.Timestamp(d) + 3* BDay()).date() - self._forward_yc = roll_yc(self.index._yc, self.exercise_date) + self._forward_yc = roll_yc(self.index._yc, d) @property def pv(self): |