cmq_rate_option.py 文件源码

def value(self, opt=Option.Call, strike=None):
        if strike is None: 
            strike = self.forward
        d1 = self.__d1(strike)
        asset_value = opt * self.forward * norm.cdf(opt * d1)
        cash_value = opt * strike * norm.cdf(opt * (d1 - self.stdev))
        return  self.discount * (asset_value - cash_value)