bs_erf_numba_vec_par.py 文件源码

def black_scholes_numba_opt(price, strike, t, mr, sig_sig_two):
        P = price
        S = strike
        T = t

        a = log(P / S)
        b = T * mr

        z = T * sig_sig_two
        c = 0.25 * z
        y = 1./sqrt(z)

        w1 = (a - b + c) * y
        w2 = (a - b - c) * y

        d1 = 0.5 + 0.5 * erf(w1)
        d2 = 0.5 + 0.5 * erf(w2)

        Se = exp(b) * S

        r  = P * d1 - Se * d2
        return complex(r, r - P + Se)