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Diffstat (limited to 'python/test_hyoption.py')
| -rw-r--r-- | python/test_hyoption.py | 16 |
1 files changed, 0 insertions, 16 deletions
diff --git a/python/test_hyoption.py b/python/test_hyoption.py deleted file mode 100644 index b6d01ab0..00000000 --- a/python/test_hyoption.py +++ /dev/null @@ -1,16 +0,0 @@ -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 - |