diff options
Diffstat (limited to 'python')
| -rw-r--r-- | python/analytics/option.py | 22 | ||||
| -rw-r--r-- | python/calibrate_swaption.py | 10 |
2 files changed, 10 insertions, 22 deletions
diff --git a/python/analytics/option.py b/python/analytics/option.py index ef931701..1669803a 100644 --- a/python/analytics/option.py +++ b/python/analytics/option.py @@ -319,6 +319,9 @@ class BlackSwaption(ForwardIndex): def pv(self, val): if np.isnan(val): raise ValueError("val is nan") + # early exit + if self.sigma is not None and abs(self.pv - val) < 1e-12: + return if self._direction * (val - self.intrinsic_value) < 0: raise ValueError( f"{val}: is less than intrinsic value: {self.intrinsic_value}" @@ -571,7 +574,7 @@ class Swaption(BlackSwaption): @pv.setter def pv(self, val): # use sigma_black as a starting point - self.pv_black = val + BlackSwaption.pv.fset(self, val) if self.sigma == 0.0: self.sigma = 1e-6 @@ -592,23 +595,6 @@ class Swaption(BlackSwaption): b *= eta self.sigma = brentq(handle, a, b) - def __setpv_black(self, val): - black_self = BlackSwaption.__new__(BlackSwaption) - for k in chain.from_iterable( - c.__slots__ for c in type(black_self).__mro__[:-1] - ): - if k != "__weakref__": - setattr(black_self, k, getattr(self, k)) - black_self.pv = val - self.sigma = black_self.sigma - - pv_black = property(None, __setpv_black) - - def __setprice_black(self, p): - self.pv_black = p * 1e-2 * self.notional * self.index.factor * self._direction - - price_black = property(None, __setprice_black) - def _get_keys(df, models=["black", "precise"]): for quotedate, source in ( diff --git a/python/calibrate_swaption.py b/python/calibrate_swaption.py index 703b6429..7d67d654 100644 --- a/python/calibrate_swaption.py +++ b/python/calibrate_swaption.py @@ -1,7 +1,6 @@ import pandas as pd -from analytics import CreditIndex, Swaption +from analytics import CreditIndex, Swaption, BlackSwaption import datetime -import sys from utils.db import dbengine from contextlib import contextmanager @@ -52,7 +51,7 @@ def calib(option, ref, strike, pay_bid, pay_offer, rec_bid, rec_offer): option.ref = ref option.strike = strike r = [] - for price_type in ["price", "price_black"]: + for price_type in ["price_black", "price"]: for option_type in ["pay", "rec"]: if option_type == "pay": mid = (pay_bid + pay_offer) / 2 * 1e-2 @@ -65,7 +64,10 @@ def calib(option, ref, strike, pay_bid, pay_offer, rec_bid, rec_offer): r.append(0.0) continue try: - setattr(option, price_type, mid) + if price_type == "price_black": + BlackSwaption.price.fset(option, mid) + else: + setattr(option, price_type, mid) except (ValueError, SystemError) as e: if "Failed" in str(e): logger.error(e) |