1 files changed, 0 insertions, 34 deletions
diff --git a/python/analytics/black.pyx b/python/analytics/black.pyx
deleted file mode 100644
index 9f733282..00000000
--- a/python/analytics/black.pyx
+++ /dev/null
@@ -1,34 +0,0 @@
-# cython: language_level=3, cdivision=True
-from libc.math cimport log, sqrt, erf
-from scipy.stats import norm
-import cython
-
-cdef double cnd_erf(double d) nogil:
-    """ 2 * Phi where Phi is the cdf of a Normal """
-    cdef double RSQRT2 = 0.7071067811865475
-    return 1 + erf(RSQRT2 * d)
-
-
-cpdef double black(double F, double K, double T, double sigma, bint payer=True):
-    cdef:
-        double x = log(F / K)
-        double sigmaT = sigma * sqrt(T)
-        double d1 = (x + 0.5 * sigmaT * sigmaT) / sigmaT
-        double d2 = (x - 0.5 * sigmaT * sigmaT) / sigmaT
-    if payer:
-        return 0.5 * (F * cnd_erf(d1) - K * cnd_erf(d2))
-    else:
-        return 0.5 * (K * cnd_erf(-d2) - F * cnd_erf(-d1))
-
-
-cpdef double Nx(double F, double K, double sigma, double T):
-    return cnd_erf((log(F / K) - sigma ** 2 * T / 2) / (sigma * sqrt(T))) / 2
-
-
-cpdef double bachelier(double F, double K, double T, double sigma):
-    """ Bachelier formula for normal dynamics
-
-    need to multiply by discount factor
-    """
-    cdef double d1 = (F - K) / (sigma * sqrt(T))
-    return 0.5 * (F - K) * cnd_erf(d1) + sigma * sqrt(T) * norm.pdf(d1)