bsopt.py 文件源码

def BSFwdNormal( IsCall, Fwd, Strike, Vol, Texp, ir):
    'Standard Bachelier European vanilla pricing.'
    d = (Fwd-Strike)/Vol/sqrt(Texp)
    p = (Fwd-Strike)  * cnorm( d ) + Vol * sqrt(Texp) * pnorm(d)
    if not IsCall:
        p = p - Fwd + Strike
    return p * exp(-Texp*ir)