diff options
Diffstat (limited to 'python/analytics')
| -rw-r--r-- | python/analytics/option.py | 4 |
1 files changed, 3 insertions, 1 deletions
diff --git a/python/analytics/option.py b/python/analytics/option.py index f213f47e..ac1fcffd 100644 --- a/python/analytics/option.py +++ b/python/analytics/option.py @@ -413,7 +413,9 @@ class BlackSwaption(ForwardIndex): r = [] actual_params = [p for p in params if hasattr(self, p)] if isinstance(vol_surface, dict): - vol_surface = vol_surface[(self.index.index_type, self.index.series)] + vol_surface = vol_surface[ + (self.index.index_type, self.index.series, self.option_type) + ] for ss in spread_shock: self.index.spread = orig_spread * (1 + ss) # TODO: Vol floored at 20% for now. |