diff options
Diffstat (limited to 'python/analytics')
| -rw-r--r-- | python/analytics/option.py | 1 |
1 files changed, 1 insertions, 0 deletions
diff --git a/python/analytics/option.py b/python/analytics/option.py index 4e04e657..85f58f00 100644 --- a/python/analytics/option.py +++ b/python/analytics/option.py @@ -59,6 +59,7 @@ class Swaption: self.exercise_date_settle = (pd.Timestamp(d) + 3* BDay()).date() self._forward_yc = roll_yc(self.index._yc, d) self._G = g(self.index, self.strike, self.exercise_date, self._forward_yc) + self._fp = self.index.forward_pv(self.exercise_date) / self.index.notional @property def strike(self): |