Grefer
commented
4 years ago -- coding: utf-8 --
""" Created on Tue Jan 7 14:22:53 2020
@author: Admin """
from scipy.stats import norm import math
L=1 #nominal principal(M) F=4.2 #forward rate(%) K=4.1 #exercise rate*(%) r= 2.55 #risk-free rate(%) sigma=20 #valatility rate(%) t=1 #option start time T=0.25 #option term(Y)
d1=(math.log(F/K)+math.pow(sigma/100,2)t/2)/(sigma/100math.sqrt(t)) d2=d1-sigma/100*math.sqrt(t)
c=Tmath.exp(-r/100(T+t))(F/100norm.cdf(d1)-K/100norm.cdf(d2))10000
f=Tmath.exp(-r/100(T+t))(K/100norm.cdf(-d2)-F/100norm.cdf(-d1))10000
print('d1=%.4f,d2=%.4f'%(d1,d2))
print('The caplet price rate is:%.2f BP,and the floorlets price rate is:%.2f BP'%(c,f))
print('The caplet price is:%.2f,and the floorlet price is:%.2f'%(cL100,fL10000))
https://www.melonsblog.cn/2020/01/blog-post.html#more