diff options
Diffstat (limited to 'python')
| -rw-r--r-- | python/analytics/option.py | 3 |
1 files changed, 2 insertions, 1 deletions
diff --git a/python/analytics/option.py b/python/analytics/option.py index 5924fc56..bd1803b0 100644 --- a/python/analytics/option.py +++ b/python/analytics/option.py @@ -340,7 +340,8 @@ class BlackSwaption(ForwardIndex): actual_params = [p for p in params if hasattr(self, p)] for ss in spread_shock: self.index.spread = orig_spread * (1 + ss) - curr_vol = vol_surface.ev(self.T, math.log(self.moneyness)) + # TODO: Vol floored at 20% for now. + curr_vol = max(.2, vol_surface.ev(self.T, math.log(self.moneyness))) for vs in vol_shock: self.sigma = curr_vol * (1 + vs) r.append([getattr(self, p) for p in actual_params]) |