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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
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