diff options
Diffstat (limited to 'python')
| -rw-r--r-- | python/analytics/index.py | 4 | ||||
| -rw-r--r-- | python/analytics/option.py | 2 |
2 files changed, 3 insertions, 3 deletions
diff --git a/python/analytics/index.py b/python/analytics/index.py index 78b52fae..2277b938 100644 --- a/python/analytics/index.py +++ b/python/analytics/index.py @@ -90,9 +90,9 @@ class Index(): def survival_probability(self, d): if d > self.trade_date: - return 1 - else: return math.exp( - self.flat_hazard * (d - self.trade_date).days/365) + else: + return 1 def forward_pv(self, exercise_date): """This is default adjusted forward price at time exercise_date""" diff --git a/python/analytics/option.py b/python/analytics/option.py index fe60d2d5..02598665 100644 --- a/python/analytics/option.py +++ b/python/analytics/option.py @@ -39,7 +39,7 @@ def calib(S0, fp, exercise_date : datetime.date, exercise_date_settle :datetime. def ATMstrike(index, exercise_date : datetime.date): exercise_date_settle = (pd.Timestamp(exercise_date) + 3* BDay()).date() - fp = index.forward_pv(exercise_date) + fp = index.forward_pv(exercise_date) / index.notional closure = lambda S: g(index, S, exercise_date) - fp eta = 1.1 a = index.spread |