bsopt.py 文件源码

def BSOpt( IsCall, Spot, Strike, Vol, Texp, Rd, Rf ):
    'Standard Black-Scholes European vanilla pricing.'
    if Strike <= 1e-12 * Spot:
        if IsCall:
            return Spot * exp( -Rf * Texp )
        else:
            return 0.

    if IsCall:
        return Spot   * exp( -Rf * Texp ) * cnorm( d1( Spot, Strike, Vol, Texp, Rd, Rf ) ) \
             - Strike * exp( -Rd * Texp ) * cnorm( d2( Spot, Strike, Vol, Texp, Rd, Rf ) )
    else:
        return Strike * exp( -Rd * Texp ) * cnorm( -d2( Spot, Strike, Vol, Texp, Rd, Rf ) ) \
             - Spot   * exp( -Rf * Texp ) * cnorm( -d1( Spot, Strike, Vol, Texp, Rd, Rf ) )