diff options
Diffstat (limited to 'python/calibrate_swaption.py')
| -rw-r--r-- | python/calibrate_swaption.py | 3 |
1 files changed, 1 insertions, 2 deletions
diff --git a/python/calibrate_swaption.py b/python/calibrate_swaption.py index da0698c2..fe011a08 100644 --- a/python/calibrate_swaption.py +++ b/python/calibrate_swaption.py @@ -68,8 +68,7 @@ def calibrate(index_type=None, series=None, date=None, nproc=4, latest=False): for k, v in data.groupby([data['quotedate'].dt.date, 'expiry','index', 'series']): trade_date, expiry, index_type, series = k index = Index.from_name(index_type, series, "5yr", trade_date) - option = Swaption(index, expiry.date(), 100, - strike_is_price=index_type == "HY") + option = Swaption(index, expiry.date(), 100) r = Parallel(n_jobs=nproc)( delayed(calib)(d, option, index_type, series) for d in v[['ref', 'quotedate', 'strike', 'pay_bid', 'pay_offer', 'rec_bid', 'rec_offer']]. |