python计算隐含波动率_用Python快速计算隐含波动率

你必须意识到隐含波动率计算的计算成本很高，如果你想要实时数据，也许python不是最好的解决方案。

这里是一个你需要的函数的例子。

import numpy as np

from scipy.stats import norm

N = norm.cdf

def bs_call(S, K, T, r, vol):

d1 = (np.log(S/K) + (r + 0.5*vol**2)*T) / (vol*np.sqrt(T))

d2 = d1 - vol * np.sqrt(T)

return S * norm.cdf(d1) - np.exp(-r * T) * K * norm.cdf(d2)

def bs_vega(S, K, T, r, sigma):

d1 = (np.log(S / K) + (r + 0.5 * sigma ** 2) * T) / (sigma * np.sqrt(T))

return S * norm.pdf(d1) * np.sqrt(T)

def find_vol(target_value, S, K, T, r, *args):

MAX_ITERATIONS = 200

PRECISION = 1.0e-5

sigma = 0.5

for i in range(0, MAX_ITERATIONS):

price = bs_call(S, K, T, r, sigma)

vega = bs_vega(S, K, T, r, sigma)

diff = target_value - price # our root

if (abs(diff) < PRECISION