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Diffstat (limited to 'python/analytics/option.py')
| -rw-r--r-- | python/analytics/option.py | 9 |
1 files changed, 4 insertions, 5 deletions
diff --git a/python/analytics/option.py b/python/analytics/option.py index af2e8e2d..ff22f018 100644 --- a/python/analytics/option.py +++ b/python/analytics/option.py @@ -110,7 +110,7 @@ class BlackSwaption(ForwardIndex): redcode=rec.security_id, maturity=rec.maturity, value_date=rec.trade_date, - freeze_version=False, + freeze_version=True, ) index.ref = rec.index_ref instance = cls( @@ -123,11 +123,10 @@ class BlackSwaption(ForwardIndex): instance.notional = rec.notional instance.price = rec.price instance._original_pv = instance.pv - if trade_id == 128: - instance._orig_params = (rec.strike, 0.99, 0.9075) - else: - instance._orig_params = (rec.strike, index.factor, index.cumloss) + instance._orig_params = (rec.strike, index.factor, index.cumloss) instance._trade_id = trade_id + index._floating_version = True + index._update_factors() return instance def mark(self, source_list=[], surface_id=None, **kwargs): |