[Fix]#Close 722

2018-02-02 09:55:02 +08:00 · 2018-02-02 09:55:02 +08:00 · 691a574ddf
commit 691a574ddf
parent b9d1d3cf1f
1 changed files with 1 additions and 1 deletions
--- a/vnpy/pricing/crr.py
+++ b/vnpy/pricing/crr.py
@ -46,7 +46,7 @@ def generateTree(f, k, r, t, v, cp, n):
    dt = t / n 
    u = exp(v * sqrt(dt))
    d = 1 / u
-    a = exp(r * dt)
+    a = 1                       # 针对期货期权a应当设为1
    uTree = np.zeros((n+1,n+1))
    oTree = np.zeros((n+1,n+1))