c10_37_volatility_smile.py 文件源码

def implied_vol_call_min(S,X,T,r,c): 
    from scipy import log,exp,sqrt,stats 
    implied_vol=1.0
    min_value=1000
    for i in range(10000): 
        sigma=0.0001*(i+1)
        d1=(log(S/X)+(r+sigma*sigma/2.)*T)/(sigma*sqrt(T)) 
        d2 = d1-sigma*sqrt(T)
        c2=S*stats.norm.cdf(d1)-X*exp(-r*T)*stats.norm.cdf(d2) 
        abs_diff=abs(c2-c)
        if abs_diff<min_value: 
            min_value=abs_diff 
            implied_vol=sigma 
            k=i
    return implied_vol


# Step 3: get call option data