Source code for naginterfaces.library.examples.specfun.opt_bsm_price_ex

#!/usr/bin/env python3
"``naginterfaces.library.specfun.opt_bsm_price`` Python Example."

# NAG Copyright 2018-2019.

# pylint: disable=invalid-name

from naginterfaces.library import specfun

def main():
    """
    Example for :func:`naginterfaces.library.specfun.opt_bsm_price`.

    Computes the European option price given by the
    Black--Scholes--Merton formula.

    >>> main()
    naginterfaces.library.specfun.opt_bsm_price Python Example Results.
    Prices for six European call options.
      Strike     Expiry    Price
      58.0000    0.7000    5.9198
      58.0000    0.8000    6.5506
      60.0000    0.7000    5.0809
      60.0000    0.8000    5.6992
      62.0000    0.7000    4.3389
      62.0000    0.8000    4.9379
    """

    print(
        'naginterfaces.library.specfun.opt_bsm_price Python Example Results.'
    )
    print('Prices for six European call options.')

    # Strike prices:
    x = [58., 60., 62.]
    # Price of the underlying asset:
    s = 55.
    # Times to expiry:
    t = [0.7, 0.8]
    # Volatility:
    sigma = 0.3
    # Risk-free interest rate:
    r = 0.1
    # Continuous yield rate:
    q = 0.

    p = specfun.opt_bsm_price('c', x, s, t, sigma, r, q)

    print('  Strike     Expiry    Price')
    for s_i, strike in enumerate(x):
        for t_i, time in enumerate(t):
            print(' '.join(['{:9.4f}']*3).format(strike, time, p[s_i, t_i]))

if __name__ == '__main__':
    import doctest
    import sys
    sys.exit(
        doctest.testmod(
            None, verbose=True, report=False,
            optionflags=doctest.REPORT_NDIFF,
        ).failed
    )