Exemplos de black_scholes_model em Python

Exemplo n.º 1

Arquivo: models.py Projeto: jmcglinch/structuredproducts

 def val_of_bull_spread_calls(self, cash_val):
     call1 = black_scholes_model(
         self.duration_in_days(), cash_val, self.issue_price, self.volility_estimate, self.annual_interest
     )
     call2 = black_scholes_model(
         self.duration_in_days(), cash_val, self.max_price, self.volility_estimate, self.annual_interest
     )
     return (round(call1, 2), round(call2, 2))

Exemplo n.º 2

Arquivo: tests.py Projeto: jmcglinch/structuredproducts

 def test_black_scholes_model(self):
     self.assertEqual(
         black_scholes_model(60, 45, 50, .3, .1),
         .7746
         )