min_on_spdcall.py 文件源码

def test_price1(F1, F2, dv1, dv2, rho, K1, K2, T):
    v1 = dv1 * np.sqrt(T)
    v2 = dv2 * np.sqrt(T)
    var = scipy.stats.multivariate_normal(mean=[F1,F2], cov=[[v1*v2,v1*v2*rho],[v1*v2*rho,v2*v2]])
    def int_func1(x, y):
        return var.pdf([x,y])*(y-K2)

    def int_func2(x, y):
        return var.pdf([x,y])*(x-K1)

    res1 = dblquad(int_func1, K2, np.inf, lambda x: x-K2+K1, lambda x: np.inf)
    res2 = dblquad(int_func2, K2, np.inf, lambda x: K1, lambda x: x-K2+K1)
    return res1[0] + res2[0]