[Fix]Close #710

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