1 files changed, 26 insertions, 12 deletions
diff --git a/python/analytics/option.py b/python/analytics/option.py
index 8c84b61e..fbd88d4d 100644
--- a/python/analytics/option.py
+++ b/python/analytics/option.py
@@ -44,18 +44,32 @@ def memoize(f):
             return v
     return cached_f
 
-def ATMstrike(index, exercise_date):
-    exercise_date_settle = (pd.Timestamp(exercise_date) + 3* BDay()).date()
-    fp = index.forward_pv(exercise_date) / index.notional
-    closure = lambda S: g(index, S, exercise_date) - fp
-    eta = 1.1
-    a = index.spread
-    b = index.spread * eta
-    while True:
-        if closure(b) > 0:
-            break
-        b *= eta
-    return brentq(closure, a, b)
+def ATMstrike(index, exercise_date, price=False):
+    """computes the at-the-money strike.
+
+    Parameters
+    ----------
+    index :
+        Index object
+    exercise_date : datetime.date
+        expiration date.
+    price : bool, defaults to False
+        If price is true return a strike price, returns a spread otherwise.
+    """
+    fi = ForwardIndex(index, exercise_date, price)
+    fp = fi.forward_pv
+    if price:
+        return 100 * (1 - fp)
+    else:
+        closure = lambda S: g(index, S, exercise_date) - fp
+        eta = 1.1
+        a = index.spread
+        b = index.spread * eta
+        while True:
+            if closure(b) > 0:
+                break
+            b *= eta
+        return brentq(closure, a, b)
 
 class Swaption(ForwardIndex):
     """Swaption class"""