diff options
Diffstat (limited to 'python')
| -rw-r--r-- | python/swaption_pnl.py | 2 |
1 files changed, 1 insertions, 1 deletions
diff --git a/python/swaption_pnl.py b/python/swaption_pnl.py index fa383608..f17a9da8 100644 --- a/python/swaption_pnl.py +++ b/python/swaption_pnl.py @@ -26,7 +26,7 @@ def get_index_pv( accrued = 0.0 for t in portf.trades: _, amount = t._fee_leg.cashflows[0] - amount *= get_fx(curr, d) + amount *= get_fx(t.currency, d) accrued -= amount * t.notional * t.factor * t.fixed_rate * 1e-4 else: accrued = 0.0 |