Test

#include <iostream>using namespace std;
int main(){  cout << "Hello, InfoQ" << endl;  return 0;}

import mathimport numpy as npfrom scipy.stats import norm
//定义以下简写变量//K: strikePrice//T: maturity//S_t: spotPrice//vol: volatility//r: riskFreeRate
//定义d1和d2def d1f(K, T, S_t, vol, r) :    return math.pow(vol * np.sqrt(T), -1) * \    (np.log(S_t / K) + (r + 0.5 * math.pow(vol, 2) * np.sqrt(T)))
def d2f(K, T, S_t, vol, r) :    return d1f(K, T, S_t, vol, r) - vol * np.sqrt(T)
//定义看涨-看跌期权计算公式def blackScholesCallPrice(K, T, S_t, vol, r) :    d1 = d1f(K, T, S_t, vol, r)    d2 = d2f(K, T, S_t, vol, r)
    callPrice = norm.cdf(d1) * S_t - norm.cdf(d2) * K * np.exp(-r * T)    return callPrice
def blackScholesPutPrice(K, T, S_t, vol, r) :    d1 = d1f(K, T, S_t, vol, r)    d2 = d2f(K, T, S_t, vol, r)
    putPrice = norm.cdf(-d2) * K * np.exp(-r * T) - norm.cdf(-d1) * S_t    return putPrice
//定义看涨-看跌期权平价测试公式def callPutParity(K, T, S_t, r) :    return S_t - np.exp(-r * T) * K
//对给定变量进行测试K = 100.0S_t = 110.0vol = 0.1r = 0.03T = 0.5
call = blackScholesCallPrice(K, T, S_t, vol, r)put = blackScholesPutPrice(K, T, S_t, vol, r)callPutParity_ = callPutParity(K, T, S_t, r)
print("The call option price is: {0}".format(call))print("The put option price is: {0}".format(put))print("Call price - put price is: {0}".format(call - put))print("The Call-Put-Parity is: {0}".format(callPutParity_))