diff options
Diffstat (limited to 'python/analytics/option.py')
| -rw-r--r-- | python/analytics/option.py | 3 |
1 files changed, 1 insertions, 2 deletions
diff --git a/python/analytics/option.py b/python/analytics/option.py index 81ff3bec..449ea273 100644 --- a/python/analytics/option.py +++ b/python/analytics/option.py @@ -124,8 +124,7 @@ class BlackSwaption(ForwardIndex): if factor != self.index.factor: cum_recovery = 100 * (factor - self.index.factor) - \ (self.index.cumloss - cumloss) - temp = (strike - cum_recovery) / self.index.factor - self.strike = (strike - cum_recovery) / self.index.factor + self.strike = (strike * factor - cum_recovery) / self.index.factor @property def exercise_date(self): |