First Post
In [2]:
from scipy.stats import norm
import math
def bscall(strike=100,mat=1,fwd=100,sig=0.1,df=1):
lnfs = math.log(1.0*fwd/strike)
sig2t = sig*sig*mat
sigsqrt = sig*math.sqrt(mat)
d1 = (lnfs + 0.5 * sig2t) / sigsqrt
d2 = (lnfs - 0.5 * sig2t) / sigsqrt
fv = fwd * norm.cdf (d1) - strike * norm.cdf (d2)
return df * fv
print(bscall(fwd=100, strike=100, sig=0.1, mat=1, df=1))