Black 期货期权定价

# 依赖版本：
# python==3.9
# QuantLib==1.43
import math
import traceback
import QuantLib as ql


def qjquant_calu_blkprice(
    price: float,
    strike: float,
    rate: float,
    time: float,
    volatility: float,
):
    try:
        # ---------- 参数校验 ----------
        if price <= 0 or strike <= 0:
            return {"ok": False, "msg": "期货价格与行权价必须大于 0"}
        if rate < 0:
            return {"ok": False, "msg": "无风险利率不能为负"}
        if time <= 0:
            return {"ok": False, "msg": "到期时间必须大于 0"}
        if volatility <= 0:
            return {"ok": False, "msg": "波动率必须大于 0"}

        # ---------- 构建 BlackCalculator 所需标量 ----------
        # Black 模型中，forward 就是期货价格本身
        forward = price

        # 标准差 = σ * sqrt(T)
        std_dev = volatility * math.sqrt(time)

        # 折现因子 = exp(-r * T)
        discount = math.exp(-rate * time)

        # ---------- 计算看涨期货期权价格 ----------
        call_payoff = ql.PlainVanillaPayoff(ql.Option.Call, strike)
        call_calc = ql.BlackCalculator(call_payoff, forward, std_dev, discount)
        call_price = call_calc.value()

        # ---------- 计算看跌期货期权价格 ----------
        put_payoff = ql.PlainVanillaPayoff(ql.Option.Put, strike)
        put_calc = ql.BlackCalculator(put_payoff, forward, std_dev, discount)
        put_price = put_calc.value()

        return {
            "ok": True,
            "call_price": round(call_price, 4),
            "put_price": round(put_price, 4),
        }

    except ValueError as ve:
        traceback.print_exc()
        return {"ok": False, "msg": f"参数错误: {ve}"}
    except Exception as e:
        traceback.print_exc()
        return {"ok": False, "msg": f"未知错误: {e}"}


# ============================================================
# 示例：复制本文件后直接运行
# ============================================================
if __name__ == "__main__":
    print("=" * 60)
    print("示例 1：标准期货期权（平值附近）")
    print("=" * 60)
    r1 = qjquant_calu_blkprice(
        price=100.0,
        strike=100.0,
        rate=0.05,
        time=1.0,
        volatility=0.2,
    )
    print(r1)

    print()
    print("=" * 60)
    print("示例 2：期货价格高于行权价（看涨实值）")
    print("=" * 60)
    r2 = qjquant_calu_blkprice(
        price=105.0,
        strike=95.0,
        rate=0.03,
        time=0.5,
        volatility=0.25,
    )
    print(r2)

    print()
    print("=" * 60)
    print("示例 3：期货价格低于行权价（看跌实值）")
    print("=" * 60)
    r3 = qjquant_calu_blkprice(
        price=90.0,
        strike=110.0,
        rate=0.04,
        time=2.0,
        volatility=0.3,
    )
    print(r3)

    print()
    print("=" * 60)
    print("示例 4：短到期、低波动")
    print("=" * 60)
    r4 = qjquant_calu_blkprice(
        price=100.0,
        strike=100.0,
        rate=0.02,
        time=0.25,
        volatility=0.15,
    )
    print(r4)