[Mod]增加隐含波动率异常检验

vnpy/trader/app/optionMaster/etf_portfolio.json

@@ -8,10 +8,8 @@
         {
             "underlyingSymbol": "510050", 
             "chainSymbol": "510050-1802", 
-            "r": 0.03
-        }
-    ],
-    "other": [
+            "r": 0.04
+        },
         {
             "underlyingSymbol": "510050", 
             "chainSymbol": "510050-1803", 

vnpy/trader/app/optionMaster/omBase.py

@@ -211,8 +211,13 @@ class OmOption(OmInstrument):
         
         self.askImpv = self.calculateImpv(self.askPrice1, underlyingPrice, self.k,
                                           self.r, self.t, self.cp)
+        if self.askImpv > 1:        # 正常情况下波动率不应该超过100%
+            self.askImpv = 0.01     # 若超过则大概率为溢出，调整为1%
+            
         self.bidImpv = self.calculateImpv(self.bidPrice1, underlyingPrice, self.k,
                                           self.r, self.t, self.cp)        
+        if self.bidImpv > 1:
+            self.bidImpv = 0.01
         self.midImpv = (self.askImpv + self.bidImpv) / 2
     
     #----------------------------------------------------------------------