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vectorized_black gives the undiscounted option price #13

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ccagrawal opened this issue Apr 18, 2023 · 2 comments
Open

vectorized_black gives the undiscounted option price #13

ccagrawal opened this issue Apr 18, 2023 · 2 comments

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@ccagrawal
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The vectorized_black function gives the undiscounted option price. I believe the result should be multiplied by exp(-r * t).
@lucassherbrook
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I have run into this issue as well.

ortap added a commit to ortap/py_vollib_vectorized that referenced this issue Nov 25, 2024
@ortap
vectorized_black gives the undiscounted option price marcdemers#13
19f4e51 
vectorized_black takes r as input (as expected in black76) however provides an undiscounted rate. this is unintuitive. attempted to fix that in this PR
@ortap
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ortap commented Nov 25, 2024 •
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agree with you that is unintuitive... put out a PR for this #19

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@ccagrawal @ortap @lucassherbrook