bsopt.py 文件源码

def BlackSholesFormula(IsCall, S, K, Vol, Texp, Rd, Rf):
    x1 = d1(S, K, Vol, Texp, Rd, Rf )
    x2 = d2(S, K, Vol, Texp, Rd, Rf )
    y = pnorm(x1)
    res = {}

    if IsCall:
        res['Price'] = S * exp(-Rf*Texp)* x1 - K * exp(-Rd*Texp) * x2
        res['Delta'] = x1 * exp(-Rf*Texp)
    else:
        res['Price'] = K * exp(-Rd*Texp) * (1 - x2) - S * exp(-Rf*Texp) * (1 - x1)
        res['Delta'] = (x1  - 1) * exp(-Rf*Texp)
    res['Vega'] = S * sqrt(Texp) * y * exp(-Rf*Texp)
    res['Gamma'] = y * exp(-Rf*Texp)/(S*Vol* sqrt(Texp))
    return res