bsopt.py 文件源码

def BSDelta( IsCall, Spot, Strike, Vol, Texp, Rd, Rf ):
    'Standard Black-Scholes Delta calculation. Over-currency spot delta.'
    if IsCall:
        return exp( -Rf * Texp ) * cnorm( d1( Spot, Strike, Vol, Texp, Rd, Rf ) )
    else:
        return -exp( -Rf * Texp ) * cnorm( -d1( Spot, Strike, Vol, Texp, Rd, Rf ) )