senset/vnpy
1
0
Fork 0
Code Issues Pull Requests Packages Projects Releases Wiki Activity

[Fix]修复希腊值计算的乘数bug

Browse Source
This commit is contained in:
vn.py 2017-12-06 21:49:24 +08:00
parent 03381c216c
commit 7e7ef73be4
1 changed files with 16 additions and 11 deletions
Show Stats Download Patch File Download Diff File Expand all files Collapse all files

27
vnpy/trader/app/optionMaster/omBase.py
View File

@ -145,7 +145,7 @@ class OmUnderlying(OmInstrument):
#----------------------------------------------------------------------
def calculatePosGreeks(self):
"""计算持仓希腊值"""
self.posDelta = self.theoDelta * self.netPos * self.size
self.posDelta = self.theoDelta * self.netPos
########################################################################
@ -218,21 +218,26 @@ class OmOption(OmInstrument):
if not underlyingPrice or not self.pricingImpv:
return
self.theoPrice, self.theoDelta, self.theoGamma, self.theoTheta, self.theoVega = self.calculateGreeks(underlyingPrice,
self.k,
self.r,
self.t,
self.pricingImpv,
self.cp)
self.theoPrice, delta, gamma, theta, vega = self.calculateGreeks(underlyingPrice,
self.k,
self.r,
self.t,
self.pricingImpv,
self.cp)
self.theoDelta = delta * self.size
self.theoGamma = gamma * self.size
self.theoTheta = theta * self.size
self.theoVega = vega * self.size
#----------------------------------------------------------------------
def calculatePosGreeks(self):
"""计算持仓希腊值"""
self.posValue = self.theoPrice * self.netPos * self.size
self.posDelta = self.theoDelta * self.netPos * self.size
self.posGamma = self.theoGamma * self.netPos * self.size
self.posTheta = self.theoTheta * self.netPos * self.size
self.posVega = self.theoVega * self.netPos * self.size
self.posDelta = self.theoDelta * self.netPos
self.posGamma = self.theoGamma * self.netPos
self.posTheta = self.theoTheta * self.netPos
self.posVega = self.theoVega * self.netPos
#----------------------------------------------------------------------
def newTick(self, tick):