Merge pull request #671 from tesla1060/master

black formula was incorrect.

vnpy/pricing/black.py

@@ -46,10 +46,10 @@ def calculatePrice(f, k, r, t, v, cp):
     # 如果波动率为0，则直接返回期权空间价值
     if v <= 0:
         return max(0, cp * (f - k))
-    
-    d1 = (log(f / k) + (0.5 * pow(v, 2) + r) * t) / (v * sqrt(t))
+
+    d1 = (log(f / k) + (0.5 * pow(v, 2)) * t) / (v * sqrt(t))
     d2 = d1 - v * sqrt(t)
-    price = cp * (f * cdf(cp * d1) - k * cdf(cp * d2) * exp(-r * t))
+    price = cp * (f * cdf(cp * d1) - k * cdf(cp * d2)) * exp(-r * t)
     return price
 
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