CBlackModel.py 文件源码

def calculate_dv01(forward, strike, implied_sigma, annuity, days_to_maturity, pay_rec):
    from scipy.stats import norm
    if pay_rec == "Payer":
        extra_addend = 0
    else:
        if pay_rec == "Receiver":
            extra_addend = -1
        else:
            raise NotImplementedError()

    d1 = calculate_d1(forward, strike, implied_sigma, days_to_maturity)
    dv01 = annuity * (norm.cdf(d1) + extra_addend)

    return dv01