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