Update VolSurface.py

Fix bug in var interpolation
jkirkby3 · Apr 13, 2024 · feddd78 · feddd78
1 parent f8ca1cc
commit feddd78
Showing 1 changed file with 2 additions and 2 deletions.
diff --git a/fypy/volatility/VolSurface.py b/fypy/volatility/VolSurface.py
@@ -127,7 +127,7 @@ def _interpolate_var(self, x: Union[float, np.ndarray], T: float) -> Union[float
         ttm_left = self._ttms[left_index]
         ttm_right = self._ttms[right_index]
 
-        var_left = self._slices[left_index].model_var(x)
+        var_left = self._slices[ttm_left].model_var(x)
 
         mult = (T - ttm_left) / (ttm_right - ttm_left)
-        return var_left + (self._slices[right_index].model_var(x) - var_left) * mult
+        return var_left + (self._slices[ttm_right].model_var(x) - var_left) * mult