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[Fix]修复CRR定价公式的错误

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vn.py 2018-01-13 17:31:30 +08:00
parent a7bbeb73bc
commit 010bd71dd4
1 changed files with 1 additions and 1 deletions
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vnpy/pricing/crr.py
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@ -78,7 +78,7 @@ def generateTree(f, k, r, t, v, cp, n):
#---------------------------------------------------------------------- #----------------------------------------------------------------------
def calculatePrice(f, k, r, t, v, cp, n=15): def calculatePrice(f, k, r, t, v, cp, n=15):
"""计算期权价格""" """计算期权价格"""
oTree, uTree = calculatePrice(f, k, r, t, v, cp) oTree, uTree = generateTree(f, k, r, t, v, cp, n)
return oTree[0, 0] return oTree[0, 0]
#---------------------------------------------------------------------- #----------------------------------------------------------------------