In a message of Thu, 01 Oct 2015 10:48:57 +0300, Michel Guirguis writes: >Good morning, > >I have a problem with the cumulative distribution function in calculating >derivatives. I am getting a call option figure of 2.5961 while it should be >2.9081. Could you please help. > > >>>S=50 >>>> K=50 >>>> r=0.03 >>>> q=0.02 >>>> sig=0.20 >>>> T=0.5 > >>>> from math import* >>>> d1=(log(S/K)+(r-q+(sig*sig)*0.5)*T)/(sig*sqrt(T)) >>>> d1 >0.10606601717798211 >>>> d2 =d1-sig*sqrt(T) >>>> d2 >-0.03535533905932742 >>>> def cumdist(): >call = 50*exp(-0.02*0.5)*cumdist*(d1)-50*exp(-0.03*0.5)*cumdist*(d2) > > >>>> call >2.596102990952506 > >Thanks, > >Michel
I do not know if this is your problem, but you can get significant errors if you try to use binary floating point to represent money. You should use decimal floating point instead. see: https://docs.python.org/3.4/library/decimal.html Laura _______________________________________________ Tutor maillist - Tutor@python.org To unsubscribe or change subscription options: https://mail.python.org/mailman/listinfo/tutor
