1 files changed, 24 insertions, 0 deletions
diff --git a/python/analytics/option.py b/python/analytics/option.py
index d76c1888..cf02cbeb 100644
--- a/python/analytics/option.py
+++ b/python/analytics/option.py
@@ -112,6 +112,30 @@ class BlackSwaption(ForwardIndex):
         instance._original_pv = instance.pv
         return instance
 
+    def mark(self, source_list=[], surface_id=None, **args):
+        ind = self.index
+        self.index.mark()
+        # add None so that we always try everything
+        source_list = source_list + [None]
+        k = ind.index_type, ind.series, ind.tenor, ind.value_date
+        vs = BlackSwaptionVolSurface(*k, **args)
+        if surface_id is None:
+            for source in source_list:
+                if len(vs.list(source, self.option_type)) >=1:
+                    break
+            else:
+                raise ValueError("No market data available for this day")
+            surface_id = vs.list(source, self.option_type)[1]
+        self.sigma = float(vs[surface_id](self.T, np.log(self.moneyness)))
+
+    @property
+    def value_date(self):
+        return self.index.value_date
+
+    @value_date.setter
+    def value_date(self, d):
+        self.index.value_date = d
+
     @property
     def exercise_date(self):
         return self.forward_date