black_sholes.py

#coding: utf-8
import numpy as np
from pylab import *
import random
import math

def CND(X):

    (a1,a2,a3,a4,a5) = (0.31938153, -0.356563782, 1.781477937, 

     -1.821255978, 1.330274429)
    L = abs(X)

    K = 1.0 / (1.0 + 0.2316419 * L)

    w = 1.0 - 1.0 / sqrt(2*pi)*exp(-L*L/2.) * (a1*K + a2*K*K + a3*pow(K,3) +

    a4*pow(K,4) + a5*pow(K,5))
    if X<0:

        w = 1.0-w

    return w
    # Black Sholes Function

def BlackSholes(CallPutFlag,S,X,T,r,v):

    d1 = (log(S/X)+(r+v*v/2.)*T)/(v*sqrt(T))

    d2 = d1-v*sqrt(T)
    if CallPutFlag=='c':

        return S*CND(d1)-X*exp(-r*T)*CND(d2)

    else:

        return X*exp(-r*T)*CND(-d2)-S*CND(-d1)
        print  X*exp(-r*T)*CND(-d2)-S*CND(-d1)

print BlackSholes('c',14500,14000,0.1667,0.38,0.06)

first_row = [0]*300
for i in range(300):
	  S = random.randint(13000, 15000)
	  X = random.randint(10000, 12000)
	  T = random.random()
	  r = 0.44
	  v = 0.01
	  first_row[i] = BlackSholes('c',S,X,T,r,v)

for i in range(300):
	print first_row[i]