bsopt.py 文件源码

def StrikeFromDelta( IsCall, Spot, Vol, Texp, Rd, Rf, Delta ):
    '''Calculates the strike of a European vanilla option gives its Black-Scholes Delta.
    It assumes the Delta is an over-ccy spot Delta.'''

    def ArgFunc( Strike ):
        DeltaCalc = BSDelta( IsCall, Spot, Strike, Vol, Texp, Rd, Rf )
        return DeltaCalc - Delta

    LoStrike = Spot * exp( ( Rd - Rf ) * Texp - 4 * Vol * sqrt( Texp ) )
    HiStrike = Spot * exp( ( Rd - Rf ) * Texp + 4 * Vol * sqrt( Texp ) )

    Strike = brenth( ArgFunc, LoStrike, HiStrike )
    return Strike