diff options
Diffstat (limited to 'python')
| -rw-r--r-- | python/tests/test_swaption.py | 4 |
1 files changed, 2 insertions, 2 deletions
diff --git a/python/tests/test_swaption.py b/python/tests/test_swaption.py index 1f5b808a..c270dd2d 100644 --- a/python/tests/test_swaption.py +++ b/python/tests/test_swaption.py @@ -21,7 +21,7 @@ class TestPutCallParity(unittest.TestCase): df = self.index._yc.discount_factor(payer.exercise_date_settle) self.assertAlmostEqual(payer.pv - receiver.pv, df * (payer.forward_pv - - g(self.index, self.strike, self.exercise_date, payer._forward_yc))) + g(self.index, self.strike, self.exercise_date))) def test_parity_black(self): payer = BlackSwaption(self.index, self.exercise_date, self.strike) @@ -31,7 +31,7 @@ class TestPutCallParity(unittest.TestCase): df = self.index._yc.discount_factor(payer.exercise_date_settle) self.assertAlmostEqual(payer.pv - receiver.pv, df * (payer.forward_pv - - g(self.index, self.strike, self.exercise_date, payer._forward_yc))) + g(self.index, self.strike, self.exercise_date))) def test_calibration(self): payer = Swaption(self.index, self.exercise_date, self.strike) |