diff options
Diffstat (limited to 'python/mark_swaptions.py')
| -rw-r--r-- | python/mark_swaptions.py | 2 |
1 files changed, 1 insertions, 1 deletions
diff --git a/python/mark_swaptions.py b/python/mark_swaptions.py index 0566e55d..671467f9 100644 --- a/python/mark_swaptions.py +++ b/python/mark_swaptions.py @@ -67,7 +67,7 @@ def mark_trades(date, engine): trade.strike, trade.swaption_type.lower()) swaption.sigma = getattr(quote, swaption.option_type) if swaption.sigma is None: - swaption.sigma = quote.receiver if option_type == "payer" else quote.payer + swaption.sigma = quote.receiver if swaption.option_type == "payer" else quote.payer direction = 1. if trade.buysell else -1. market_value = swaption.pv * trade.notional * direction if trade.index in ["HY", "XO"]: |