diff --git a/pfhedge/stochastic/kou_jump.py b/pfhedge/stochastic/kou_jump.py index 54b76b24..ba2e4948 100644 --- a/pfhedge/stochastic/kou_jump.py +++ b/pfhedge/stochastic/kou_jump.py @@ -101,7 +101,7 @@ def generate_kou_jump( """ # change means to rate of exponential distributions jump_eta_up = 1 / jump_mean_up - jump_eta_down = 1/ jump_mean_down + jump_eta_down = 1 / jump_mean_down if jump_eta_up <= 1: raise ValueError("jump_mean_up must be postive and smaller than 1")