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Merge branch 'dev' of https://github.com/vnpy/vnpy into dev

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vn.py 2018-01-05 15:16:28 +08:00
commit 61608dd20d
1 changed files with 3 additions and 3 deletions
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vnpy/pricing/black.py
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@ -47,9 +47,9 @@ def calculatePrice(f, k, r, t, v, cp):
if v <= 0: if v <= 0:
return max(0, cp * (f - k)) 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) 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 return price
#---------------------------------------------------------------------- #----------------------------------------------------------------------