diff options
Diffstat (limited to 'python/analytics/sabr.py')
| -rw-r--r-- | python/analytics/sabr.py | 4 |
1 files changed, 2 insertions, 2 deletions
diff --git a/python/analytics/sabr.py b/python/analytics/sabr.py index eba32bac..4de15338 100644 --- a/python/analytics/sabr.py +++ b/python/analytics/sabr.py @@ -58,10 +58,10 @@ def sabr(alpha, beta, rho, nu, F, K, T): if __name__ == "__main__":
from analytics.option import BlackSwaption
- from analytics import Index
+ from analytics import CreditIndex
from scipy.optimize import least_squares
- underlying = Index.from_name("IG", 28, "5yr")
+ underlying = CreditIndex("IG", 28, "5yr")
underlying.spread = 67.5
exercise_date = datetime.date(2017, 9, 20)
option = BlackSwaption(underlying, exercise_date, 70)
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