elif init_swap_rate < 0.0 and option_strike > 0.0:
            expect = swap_annuity * (option_strike - init_swap_rate)
        # max(K-S(T),0) = max((-S(T)) - (-K),0)
        elif init_swap_rate < 0.0 and option_strike < 0.0:
            option_value = function.black_scholes_call_formula(