yuchenamberlu / options-calculator Goto Github PK

Hi, thanks for the great upload. Do you know why I get an error ?
Thanks

NameError Traceback (most recent call last)
in
1 ## calculate the call / put option price and the greeks of the call / put option
2 r = r/100; sigma = sigma/100;
----> 3 price_and_greeks = {'Call' : [bs_call(S,K,T,r,sigma), call_delta(S,K,T,r,sigma), call_gamma(S,K,T,r,sigma),call_vega(S,K,T,r,sigma), call_rho(S,K,T,r,sigma), call_theta(S,K,T,r,sigma)],
4 'Put' : [bs_put(S,K,T,r,sigma), put_delta(S,K,T,r,sigma), put_gamma(S,K,T,r,sigma),put_vega(S,K,T,r,sigma), put_rho(S,K,T,r,sigma), put_theta(S,K,T,r,sigma)]}
5 price_and_greeks_frame = DataFrame(price_and_greeks, columns=['Call','Put'], index=['Price', 'delta', 'gamma','vega','rho','theta'])

NameError: name 'bs_call' is not defined

the formula for d1 should be:
def d1(S,K,T,r,sigma): return((log(S/K)+(r+0.5*sigma**2)*T))/(sigma*sqrt(T))

Think you need to tweak d1 part of your formula:
currently it reads as,

define two functions, d1 and d2 in Black-Scholes model

def d1(S,K,T,r,sigma):
return(log(S/K)+(r+sigma**2/2.)T)/sigmasqrt(T)

which will produce incorrect outcome for it, you need extra bracket, should read as:
def d1(S,K,T,r,sigma):
return(log(S/K)+(r+((sigma**2)/2))T)/(sigmasqrt(T))

otherwise great write up on blacksholes python model.