1 files changed, 15 insertions, 0 deletions
diff --git a/python/test_igoption.py b/python/test_igoption.py
new file mode 100644
index 00000000..23d04d51
--- /dev/null
+++ b/python/test_igoption.py
@@ -0,0 +1,15 @@
+from analytics import Index, Swaption
+import datetime
+index = Index.from_name("ig", 27, "5yr",
+                        trade_date = datetime.date(2016, 11, 18))
+index.spread = 76.5
+exercise_date = datetime.date(2017, 3, 15)
+strike = 80
+payer = Swaption(index, exercise_date, strike, strike_is_price = False)
+payer.sigma = .4
+payer.notional = 10000000
+#payer.pv = 1.948 * 1e-2
+
+receiver = Swaption(index, exercise_date, strike, "receiver", strike_is_price = False)
+receiver.sigma = .4
+receiver.notional= 1e7
+\ No newline at end of file