diff options
Diffstat (limited to 'python')
| -rw-r--r-- | python/analytics/option.py | 8 |
1 files changed, 4 insertions, 4 deletions
diff --git a/python/analytics/option.py b/python/analytics/option.py index dad2af16..f21f683f 100644 --- a/python/analytics/option.py +++ b/python/analytics/option.py @@ -545,11 +545,11 @@ def _calibrate_model(index, quotes, option_type, option_model): moneyness = r[non_nan,1] return SmoothBivariateSpline(time, moneyness, vol) -def _calibrate(index, quotes, option_type, *, kwargs): +def _calibrate(index, quotes, option_type, **kwargs): if 'option_model' in kwargs: - return _calibrate_model(index, quotes, option_type, **kwargs) + return _calibrate_model(index, quotes, option_type, kwargs['option_model']) elif 'beta' in kwargs: - return _calibrate_sabr(index, quotes, option_type, **kwargs) + return _calibrate_sabr(index, quotes, option_type, kwargs['beta']) class ModelBasedVolSurface(VolSurface): def __init__(self, index_type, series, tenor='5yr', trade_date=datetime.date.today()): @@ -586,7 +586,7 @@ class ModelBasedVolSurface(VolSurface): ['pay_mid' if option_type == "payer" else 'rec_mid']) self._index.ref = quotes.ref.iat[0] self._surfaces[surface_id] = _calibrate(self._index, quotes, - self._option_model, + option_type, **self._opts) return self._surfaces[surface_id] else: |