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Diffstat (limited to 'python/test_hyoption.py')
| -rw-r--r-- | python/test_hyoption.py | 16 |
1 files changed, 16 insertions, 0 deletions
diff --git a/python/test_hyoption.py b/python/test_hyoption.py new file mode 100644 index 00000000..b6d01ab0 --- /dev/null +++ b/python/test_hyoption.py @@ -0,0 +1,16 @@ +from analytics import Index, Swaption +import datetime +index = Index.from_name("hy", 27, "5yr", + trade_date = datetime.date(2016, 11, 16)) +index.price = 103.75 +exercise_date = datetime.date(2017, 3, 15) +strike = 102.5 +payer = Swaption(index, exercise_date, strike, strike_is_price = True) +payer.sigma = .4 +payer.notional= 1e7 +#payer.pv = 1.948 * 1e-2 + +receiver = Swaption(index, exercise_date, strike, "receiver", strike_is_price = True) +receiver.sigma = .4 +receiver.notional= 1e7 + |