cmq_rate_option.py 文件源码

def value(self, opt=Option.Call, strike=None):
        if strike is None: 
            strike = self.forward
        dr = opt * (self.forward - strike)
        d1 = dr / self.stdev  
        d2 = self.stdev * norm.pdf(d1)
        return  self.discount * (dr * norm.cdf(d1) + d2)