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Diffstat (limited to 'python/tests/test_swaption.py')
| -rw-r--r-- | python/tests/test_swaption.py | 2 |
1 files changed, 1 insertions, 1 deletions
diff --git a/python/tests/test_swaption.py b/python/tests/test_swaption.py index 908fe4d2..ae43d4ae 100644 --- a/python/tests/test_swaption.py +++ b/python/tests/test_swaption.py @@ -34,7 +34,7 @@ class TestPutCallParity(unittest.TestCase): receiver.sigma = 0.416 df = self.index._yc.discount_factor(payer.exercise_date_settle) self.assertAlmostEqual(payer.pv_black - receiver.pv_black, - df * (self.index.forward_pv(self.exercise_date)/self.index.notional - + df * (payer.forward_pv/self.index.notional - g(self.index, self.strike, self.exercise_date, payer._forward_yc))) def test_calibration(self): |