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 d7d1f0a1..921bbf59 100644 --- a/python/calibrate_swaption.py +++ b/python/calibrate_swaption.py @@ -55,10 +55,10 @@ def calib(option, ref, strike, pay_bid, pay_offer, rec_bid, rec_offer): 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 + mid = (pay_bid + pay_offer) / 2 * 1e-2 option.option_type = "payer" else: - mid = (rec_bid + rec_offer) / 2 * 1e-4 + mid = (rec_bid + rec_offer) / 2 * 1e-2 option.option_type = "receiver" if mid == 0.0: logger.info("0. mid, skipping.") |