{
 "cells": [
  {
   "cell_type": "code",
   "execution_count": null,
   "metadata": {},
   "outputs": [],
   "source": [
    "from black_76 import *"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": null,
   "metadata": {},
   "outputs": [],
   "source": [
    "# 数据截取自\n",
    "f = 3559.2    # IF2311价格\n",
    "k = 3600\n",
    "r = 0.02\n",
    "t = 15/365\n",
    "v = 0.148     # 隐含波动率14.8%\n",
    "cp = 1\n",
    "price = 25.4  # 期权价格"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": null,
   "metadata": {},
   "outputs": [],
   "source": [
    "# 从波动率计算价格和希腊值\n",
    "calculate_greeks(f, k, r, t, v, cp)"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": null,
   "metadata": {},
   "outputs": [],
   "source": [
    "# 从价格计算波动率\n",
    "calculate_impv(price, f, k, r, t, cp)"
   ]
  }
 ],
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   "language": "python",
   "name": "python3"
  },
  "language_info": {
   "codemirror_mode": {
    "name": "ipython",
    "version": 3
   },
   "file_extension": ".py",
   "mimetype": "text/x-python",
   "name": "python",
   "nbconvert_exporter": "python",
   "pygments_lexer": "ipython3",
   "version": "3.10.2"
  }
 },
 "nbformat": 4,
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