bsopt.py 文件源码

def BAWAmOptPricer( IsCall, Fwd, Strike, Vol, Texp, rd, rf ):
    prem = BAWPremium( IsCall, Fwd, Strike, Vol, Texp, rd, rf )
    D    = exp( -rd * Texp)
    Euro = D * BSFwd(IsCall, Fwd, Strike, Vol, Texp)
    return Euro + prem