CGenericOptionBlackScholesModel.py 文件源码

def __calculate_price(underlying, strike, annuity, domestic_short_rate, foreign_short_rate,
                      implied_sigma, days_to_maturity, sign):
    """ P_t = A_t * (S_t * N(d_1) - k * e^(- (r_d - r_f) * T) * N(d_2))
    :param underlying:
    :param strike:
    :param annuity:
    :param implied_sigma:
    :param days_to_maturity:
    :param sign:
    :return:
    """
    from scipy.stats import norm
    from math import exp

    if sign != 1 and sign != -1:
        raise ValueError("Invalid Sign")

    d1 = calculate_d1(underlying, strike, domestic_short_rate, foreign_short_rate, implied_sigma, days_to_maturity)
    d2 = calculate_d2(underlying, strike, domestic_short_rate, foreign_short_rate, implied_sigma, days_to_maturity)

    r = domestic_short_rate - foreign_short_rate
    year_fraction = float(days_to_maturity) / 365
    df = exp(-r * year_fraction)
    price = annuity * sign * (underlying * norm.cdf(sign * d1) - strike * df * norm.cdf(sign * d2))

    return price