Esempio n. 1
0
 def nprice(self, fp, sig, dt=Time.today, r=0.0)->float:
     fy = self.fut.bond.price2bondCoupon(fp,fp)
     xy = self.fut.bond.price2bondCoupon(self.strike,fp)
     pv1 = self.fut.bond.pv01p(fp)
     return BsBase.niscall(not self.isCall, fy, xy, sig, r, self.expiry.texp(dt)/262.0)*pv1
Esempio n. 2
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 def lprice(self, fp, v, dt=Time.today, r=0.0)->float:
     return BsBase.liscall(self.isCall, fp, self.strike, v, r, self.expiry.texp(dt)/262.0)