from analytics import Index, Swaption
import datetime
index = Index.from_name("ig", 27, "5yr",
                        trade_date = datetime.date(2016, 11, 18))
index.spread = 76.5
exercise_date = datetime.date(2017, 3, 15)
strike = 80
payer = Swaption(index, exercise_date, strike, strike_is_price = False)
payer.sigma = .4
payer.notional = 10000000
#payer.pv = 1.948 * 1e-2

receiver = Swaption(index, exercise_date, strike, "receiver", strike_is_price = False)
receiver.sigma = .4
receiver.notional= 1e7