bsopt.py 文件源码

def BSVega( Spot, Strike, Vol, Texp, Rd, Rf ):
    'Standard Black-Scholes Vega calculation.'

    d = d1( Spot, Strike, Vol, Texp, Rd, Rf )
    return Spot * exp( -Rf * Texp ) * sqrt( Texp / 2. / pi ) * exp( -d * d / 2. )