diff options
Diffstat (limited to 'python/calibrate_swaption.py')
| -rw-r--r-- | python/calibrate_swaption.py | 4 |
1 files changed, 2 insertions, 2 deletions
diff --git a/python/calibrate_swaption.py b/python/calibrate_swaption.py index 866d0fb8..d7d1f0a1 100644 --- a/python/calibrate_swaption.py +++ b/python/calibrate_swaption.py @@ -52,7 +52,7 @@ def calib(option, ref, strike, pay_bid, pay_offer, rec_bid, rec_offer): option.ref = ref option.strike = strike r = [] - for pv_type in ["pv", "pv_black"]: + for price_type in ["price", "price_black"]: for option_type in ["pay", "rec"]: if option_type == "pay": mid = (pay_bid + pay_offer) / 2 * 1e-4 @@ -65,7 +65,7 @@ def calib(option, ref, strike, pay_bid, pay_offer, rec_bid, rec_offer): r.append(0.0) continue try: - setattr(option, pv_type, mid) + setattr(option, price_type, mid) except ValueError as e: if "Failed" in str(e): logger.error(e) |