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[Fix]Close #710

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vn.py 2018-02-01 16:26:25 +08:00
parent e7e9089936
commit 9df447ad48
1 changed files with 1 additions and 1 deletions
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vnpy/pricing/black.py
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@ -112,7 +112,7 @@ def calculateImpv(price, f, k, r, t, cp):
if cp == 1 and (price > (f - k) * exp(-r * t)): if cp == 1 and (price > (f - k) * exp(-r * t)):
meet = True meet = True
elif cp == -1 and (price > k * exp(-r * t) - f): elif cp == -1 and (price > k - f):
meet = True meet = True
# 若不满足最小价值，则直接返回0 # 若不满足最小价值，则直接返回0