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Diffstat (limited to 'python/analytics/option.py')
| -rw-r--r-- | python/analytics/option.py | 2 |
1 files changed, 2 insertions, 0 deletions
diff --git a/python/analytics/option.py b/python/analytics/option.py index a54ae0f4..c900900f 100644 --- a/python/analytics/option.py +++ b/python/analytics/option.py @@ -251,6 +251,8 @@ class BlackSwaption(ForwardIndex): @property def pv(self): """compute pv using black-scholes formula""" + if self.sigma is None: + raise ValueError("volatility is unset") if self.sigma == 0: return self.intrinsic_value * self.index.factor else: |