blob: 2238abe62e22bdd489a18d0d3bb891bd9e513bbe (
plain)
1
2
3
4
5
6
7
8
9
|
import datetime
from analytics import Index, Swaption
ig27_5yr = Index.from_name('ig', 27, '5yr', datetime.date(2016, 10, 24))
ig27_5yr.spread = 74
payer = Swaption(ig27_5yr, datetime.date(2016, 12, 21), 65)
payer.sigma = 0.428
payer.notional = 10e6
print(payer.pv)
|
