bsopt.py 文件源码

def BSFwd( IsCall, Fwd, Strike, Vol, Texp, ir):
    'Standard Black-Scholes European vanilla pricing.'

    if Strike <= 1e-12 * Fwd:
        if IsCall:
            return Fwd
        else:
            return 0.
    df = exp(-ir * Texp)
    if IsCall:
        return df * (Fwd  * cnorm( fd1( Fwd, Strike, Vol, Texp ) ) \
             - Strike * cnorm( fd2( Fwd, Strike, Vol, Texp ) ))
    else:
        return df * (Strike * cnorm( -fd2( Fwd, Strike, Vol, Texp ) ) \
             - Fwd * cnorm( -fd1( Fwd, Strike, Vol, Texp ) ))