def black76_delta(call_put,S,X,T,r,v):
d1 = math.exp(-r*T)*(math.log(S/X)+(v*v/2.0)*T)/(v*math.sqrt(T))
if call_put[0].lower()=='c':
return cdf(d1)
else:
return -cdf(-d1)
def black76_delta(call_put, S, X, T, r, v):
d1 = math.exp(-r * T) * (math.log(S / X) +
(v * v / 2.0) * T) / (v * math.sqrt(T))
if call_put[0].lower() == 'c':
return cdf(d1)
else:
return -cdf(-d1)
def bms_delta(call_put, S, X, T, r, v, q):
d1 = (math.log(S / X) + (r + v * v / 2.0) * T) / (v * math.sqrt(T))
if call_put[0].lower() == 'c':
return cdf(d1)
else:
return -cdf(-d1)
def bms_delta(call_put,S,X,T,r,v,q):
d1 = (math.log(S/X)+(r+v*v/2.0)*T)/(v*math.sqrt(T))
if call_put[0].lower()=='c':
return cdf(d1)
else:
return -cdf(-d1)
def bms(call_put, S, X, T, r, v, q):
d1 = (math.log(S / X) + (r + v * v / 2.0) * T) / (v * math.sqrt(T))
d2 = d1 - v * math.sqrt(T)
if call_put[0].lower() == 'c':
return S * math.exp(-q * T) * cdf(d1) - X * math.exp(-r * T) * cdf(d2)
else:
return X * math.exp(-r * T) * cdf(-d2) - S * cdf(-d1)
def bms(call_put,S,X,T,r,v,q):
d1 = (math.log(S/X)+(r+v*v/2.0)*T)/(v*math.sqrt(T))
d2 = d1-v*math.sqrt(T)
if call_put[0].lower()=='c':
return S*math.exp(-q*T)*cdf(d1)-X*math.exp(-r*T)*cdf(d2)
else:
return X*math.exp(-r*T)*cdf(-d2)-S*cdf(-d1)
def kirk95(call_put, F, K, T, r, vol, corr):
v = math.sqrt(vol[0]**2 - 2 * F[1] / (F[1] + K) * corr * vol[0] * vol[1] +
(F[1] / (F[1] + K))**2 * vol[1] * 2)
d1 = (math.log(F[0] / (F[1] + K)) + (v * v / 2.0) * T) / (v * math.sqrt(T))
d2 = d1 - v * math.sqrt(T)
if call_put[0].lower() == 'c':
return math.exp(-r * T) * (F[0] * cdf(d1) - (F[1] + K) * cdf(d2))
else:
return math.exp(-r * T) * ((F[1] + K) * cdf(-d2) - F[0] * cdf(-d1))
def kirk95(call_put,F,K,T,r,vol,corr):
v = math.sqrt( vol[0]**2
-2*F[1]/(F[1]+K)*corr*vol[0]*vol[1]
+(F[1]/(F[1]+K))**2*vol[1]*2
)
d1 = (math.log(F[0]/(F[1]+K))+(v*v/2.0)*T)/(v*math.sqrt(T))
d2 = d1-v*math.sqrt(T)
if call_put[0].lower()=='c':
return math.exp(-r*T)*(F[0]*cdf(d1)-(F[1]+K)*cdf(d2))
else:
return math.exp(-r*T)*((F[1]+K)*cdf(-d2)-F[0]*cdf(-d1))