diff options
Diffstat (limited to 'python/analytics/scenarios.py')
| -rw-r--r-- | python/analytics/scenarios.py | 3 |
1 files changed, 3 insertions, 0 deletions
diff --git a/python/analytics/scenarios.py b/python/analytics/scenarios.py index 037f5d9b..ba70cdc1 100644 --- a/python/analytics/scenarios.py +++ b/python/analytics/scenarios.py @@ -28,6 +28,9 @@ def run_swaption_scenarios(swaption, date_range, spread_shock, vol_shock, spreads = swaption.index.spread * (1 + spread_shock) T = swaption.T + if isinstance(vol_surface, dict): + vol_surface = vol_surface[(swaption.index.index_type, swaption.index.series)] + r = [] for date in date_range: swaption.index.value_date = min(swaption.exercise_date, date.date()) |