diff options
| -rw-r--r-- | python/analytics/black.py | 3 |
1 files changed, 2 insertions, 1 deletions
diff --git a/python/analytics/black.py b/python/analytics/black.py index ba1d5b2a..f0c786ba 100644 --- a/python/analytics/black.py +++ b/python/analytics/black.py @@ -30,5 +30,6 @@ def black(F, K, T, sigma, payer=True): else: return 0.5 * (K * cnd_erf(-d2) - F * cnd_erf(-d1)) +@jit(float64(float64,float64,float64,float64),cache=True,nopython=True) def Nx(F, K, sigma, T): - return cnd_erf((log(F/K) - sigma**2 * T /2) / (sigma * sqrt(T))) /2
\ No newline at end of file + return cnd_erf((log(F/K) - sigma**2 * T /2) / (sigma * sqrt(T))) /2 |