[Fix]Close #706

2018-02-01 16:44:35 +08:00 · 2018-02-01 16:44:35 +08:00 · b9d1d3cf1f
commit b9d1d3cf1f
parent 9df447ad48
1 changed files with 2 additions and 2 deletions
--- a/vnpy/pricing/crr.py
+++ b/vnpy/pricing/crr.py
@ -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）
    meet = False
    
-    if cp == 1 and (price > (f - k) * exp(-r * t)):
+    if cp == 1 and (price > f - k):
        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