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Diffstat (limited to 'python/analytics/black.py')
| -rw-r--r-- | python/analytics/black.py | 3 |
1 files changed, 3 insertions, 0 deletions
diff --git a/python/analytics/black.py b/python/analytics/black.py index 2c4f58db..ba1d5b2a 100644 --- a/python/analytics/black.py +++ b/python/analytics/black.py @@ -29,3 +29,6 @@ def black(F, K, T, sigma, payer=True): return 0.5 * (F * cnd_erf(d1) - K * cnd_erf(d2)) else: return 0.5 * (K * cnd_erf(-d2) - F * cnd_erf(-d1)) + +def Nx(F, K, sigma, T): + return cnd_erf((log(F/K) - sigma**2 * T /2) / (sigma * sqrt(T))) /2
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