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[Fix]Close #706

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vn.py 2018-02-01 16:44:35 +08:00
parent 9df447ad48
commit b9d1d3cf1f
1 changed files with 2 additions and 2 deletions
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vnpy/pricing/crr.py
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@ -139,9 +139,9 @@ def calculateImpv(price, f, k, r, t, cp, n=15):
# 检查期权价格是否满足最小价值（即到期行权价值） # 检查期权价格是否满足最小价值（即到期行权价值）
meet = False meet = False
if cp == 1 and (price > (f - k) * exp(-r * t)): if cp == 1 and (price > f - k):
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