diff options
Diffstat (limited to 'python')
| -rw-r--r-- | python/analytics/option.py | 8 |
1 files changed, 6 insertions, 2 deletions
diff --git a/python/analytics/option.py b/python/analytics/option.py index e3b8d21e..ebce8e25 100644 --- a/python/analytics/option.py +++ b/python/analytics/option.py @@ -113,7 +113,11 @@ class BlackSwaption(ForwardIndex): self.forward_date = d ForwardIndex.__init__(self, self.index, d) self._forward_yc = roll_yc(self.index._yc, d) - self._G = g(self.index, self.strike, d, self._forward_yc) + if self.index._quote_is_price: + self._strike = g(self.index, self.index.fixed_rate, + self.exercise_date, self._forward_yc, self._G) + else: + self._G = g(self.index, K, self.exercise_date, self._forward_yc) @property def strike(self): @@ -255,7 +259,7 @@ class BlackSwaption(ForwardIndex): if self._T: return self._T else: - return ((self.exercise_date - self.index.trade_date).days + 1)/365 + return ((self.exercise_date - self.index.trade_date).days + 0.25)/365 @property def gamma(self): |