diff options
Diffstat (limited to 'python')
| -rw-r--r-- | python/analytics/option.py | 2 |
1 files changed, 1 insertions, 1 deletions
diff --git a/python/analytics/option.py b/python/analytics/option.py index e4b08364..fbb84caf 100644 --- a/python/analytics/option.py +++ b/python/analytics/option.py @@ -88,7 +88,7 @@ class BlackSwaption(ForwardIndex): if index is None: index = CreditIndex(redcode=rec.security_id, maturity=rec.maturity, value_date=rec.trade_date) index.ref = rec.index_ref - instance = cls(index, rec.expiration_date, rec.strike, rec.swaption_type.lower(), + instance = cls(index, rec.expiration_date, rec.strike, rec.option_type.lower(), direction="Long" if rec.buysell else "Short") instance.notional = rec.notional instance.pv = rec.price * 1e-2 * rec.notional * (2 * rec.buysell - 1) |