diff options
Diffstat (limited to 'python/analytics/black.py')
| -rw-r--r-- | python/analytics/black.py | 6 |
1 files changed, 3 insertions, 3 deletions
diff --git a/python/analytics/black.py b/python/analytics/black.py index 94f91efb..781732d9 100644 --- a/python/analytics/black.py +++ b/python/analytics/black.py @@ -5,7 +5,7 @@ import math def d1(F, K, sigma, T): - return (log(F / K) + sigma**2 * T / 2) / (sigma * math.sqrt(T)) + return (log(F / K) + sigma ** 2 * T / 2) / (sigma * math.sqrt(T)) def d2(F, K, sigma, T): @@ -40,7 +40,7 @@ def black(F, K, T, sigma, payer=True): @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 + return cnd_erf((log(F / K) - sigma ** 2 * T / 2) / (sigma * sqrt(T))) / 2 def bachelier(F, K, T, sigma): @@ -49,4 +49,4 @@ def bachelier(F, K, T, sigma): need to multiply by discount factor """ d1 = (F - K) / (sigma * sqrt(T)) - return (0.5 * (F - K) * cnd_erf(d1) + sigma * sqrt(T) * norm.pdf(d1)) + return 0.5 * (F - K) * cnd_erf(d1) + sigma * sqrt(T) * norm.pdf(d1) |