1 files changed, 36 insertions, 5 deletions
diff --git a/python/analytics/option.py b/python/analytics/option.py
index 6c2c970d..1cd5d1a6 100644
--- a/python/analytics/option.py
+++ b/python/analytics/option.py
@@ -73,7 +73,7 @@ class Swaption(ForwardIndex):
         tilt = np.exp(-self.sigma**2/2 * T + self.sigma * self._Z * math.sqrt(T))
         args = (self.forward_pv, self.exercise_date, self.exercise_date_settle,
                 self.index, self._forward_yc, tilt, self._w)
-        eta = 1.1
+        eta = 1.05
         a = self.index.spread
         b = a * eta
         while True:
@@ -105,19 +105,50 @@ class Swaption(ForwardIndex):
                           self.exercise_date_settle,
                           self.index.start_date, self.index.end_date, self.index.recovery)
         val = ((a - b * self.index.fixed_rate*1e-4) - self._G) * 1/math.sqrt(2*math.pi) * np.exp(-Z**2/2)
-        df = self.index._yc.discount_factor(self.exercise_date_settle)
-        return self.notional * simps(val, Z) * df
+        return self.notional * simps(val, Z) * self.df
+
+    @pv.setter
+    def pv(self, val: float):
+        def handle(x):
+            self.sigma = x
+            return self.pv - val
+        # use sigma as a starting point
+        self.pv_black = val
+        eta = 1.1
+        a = self.sigma
+        while True:
+            if handle(a) < 0:
+                break
+            a /= eta
+        b = a * eta
+        while True:
+            if handle(b) > 0:
+                break
+            b *= eta
+        self.sigma = brentq(handle, a, b)
 
     @property
     def pv_black(self):
         """compute pv using black-scholes formula"""
-        df = self.index._yc.discount_factor(self.exercise_date_settle)
-        strike_tilde = self.index.fixed_rate * 1e-4 + self._G / self.forward_annuity * df
+        strike_tilde = self.index.fixed_rate * 1e-4 + self._G / self.forward_annuity * self.df
         return self.forward_annuity * black(self.forward_spread * 1e-4,
                                             strike_tilde,
                                             self.T,
                                             self.sigma,
                                             self.option_type) * self.notional
+    @pv_black.setter
+    def pv_black(self, val: float):
+        def handle(x):
+            self.sigma = x
+            return self.pv_black - val
+        eta = 1.01
+        a = 0.1
+        b = a * eta
+        while True:
+            if handle(b) > 0:
+                break
+            b *= eta
+        self.sigma = brentq(handle, a, b)
 
     @property
     def delta(self):