#Get BS Price 这里开始计算BS 理论价格,可以用于和期权市场价格对比
BSPrice=CalOBJ.GetOptionBSPrice(OptDirection,AssetType,AssetPrice,StrikePrice,HisVola,InterestRate,ExpireinYear)
#GetOptionBSPrice(direct, type, stockprice, strikeprice, volatility, r, t)
print "BS Theory Price is "+ str(BSPrice) +" vs option market price "+str(dyndata1)
#Cal Opt Greeks #这里开始计算希腊值 Delta
#GetOptionDelta(direct,type,stockprice,strikeprice,volatility,r,t)
OptDelta=CalOBJ.GetOptionDelta(OptDirection,AssetType,AssetPrice,StrikePrice,HisVola,InterestRate,ExpireinYear)
print "Option Delta is "+ str(OptDelta)
#Theta
OptTheta=CalOBJ.GetOptionTheta(OptDirection,AssetType,AssetPrice,StrikePrice,HisVola,InterestRate,ExpireinYear)
print "Option Theta is "+ str(OptTheta)
#Gamma
OptGamma=CalOBJ.GetOptionGamma(OptDirection,AssetType,AssetPrice,StrikePrice,HisVola,InterestRate,ExpireinYear)
print "Option Gamma is "+ str(OptGamma)
#Vega
OptVega=CalOBJ.GetOptionVega(OptDirection,AssetType,AssetPrice,StrikePrice,HisVola,InterestRate,ExpireinYear)
print "Option Vega is "+str(OptVega)
#Rho
OptRho=CalOBJ.GetOptionRho(OptDirection,AssetType,AssetPrice,StrikePrice,HisVola,InterestRate,ExpireinYear)
print "Option Rho is "+str(OptRho)
当然一些变量,比如 OptDirection,AssetType,AssetPrice,StrikePrice,HisVola,InterestRate,ExpireinYear需要事先定义,请参考完整代码
完整代码可参考 https://github.com/qmhedging/pob ... %20and%20BS%20Price
更多范例代码可见 https://github.com/qmhedging/poboquant
Poboquant注册网址 https://quant.pobo.net.cn/quant/login#/
邀请码 814685