import numpy as np from scipy.stats import norm # Parameters S0 = 1.5 # initial FX rate U = 1.7 # upper barrier level L = 1.2 # lower barrier level X = 1.4 # strike price T = 1.0 # time to maturity r = 0.03 # risk-free rate rf = 0.0 # foreign interest rate sigma = 0.12 # volatility # Simulation settings M = 100000 # number of Monte Carlo simulations N = 252 # number of time steps # Time and step size dt = T / N t = np.linspace(0, T, N+1) # Simulate FX rates Z = np.random.standard_normal((M, N)) S = np.zeros((M, N+1)) S[:, 0] = S0 for i in range(N): S[:, i+1] = S[:, i] * np.exp((r-rf - 0.5*sigma**2)*dt + sigma*np.sqrt(dt)*Z[:, i]) # Compute option payoff payoff = np.zeros(M) for i in range(M): # Check if the option has knocked out if np.any((S[i, 21:126] > U) | (S[i, 201:231] < L) | (S[i, -1] < 1.3) | (S[i, -1] > 1.8)): payoff[i] = 0 else: payoff[i] = np.maximum(S[i, -1] - X, 0) # Compute option price and standard deviation using Monte Carlo simulation discount_factor = np.exp(-r*T) option_price = discount_factor * np.mean(payoff) std_dev = np.std(payoff) print("Option price:", option_price) print("Standard deviation:", std_dev) # Compute option delta using finite difference method delta = np.zeros(N+1) delta[0] = norm.cdf((np.log(S0/X) + (r-rf + 0.5*sigma**2)*T) / (sigma*np.sqrt(T))) for i in range(1, N+1): Si = S[:, i] Si_minus_1 = S[:, i-1] Ci = np.maximum(Si-X, 0) Ci_minus_1 = np.maximum(Si_minus_1-X, 0) delta[i] = np.mean((Ci - Ci_minus_1) / (Si - Si_minus_1)) * np.exp(-r*dt) print("Option delta:", delta[-1]) File "<ipython-input-2-57deb9637f96>", line 34, in <module> if np.any((S[i, 21:126] > U) | (S[i, 201:231] < L) | (S[i, -1] < 1.3) | (S[i, -1] > 1.8)): ValueError: operands could not be broadcast together with shapes (105,) (30,)

这个错误是因为 `(S[i, 201:231] < L)` 中的切片操作导致了形状不兼容的问题。根据你的代码，`S` 是一个 `(M, N+1)` 的数组，所以 `S[i, 201:231]` 的形状是 `(30,)`，而 `(S[i, 21:126] > U)` 和 `(S[i, -1] < 1.3) | (S[i, -1] > 1.8)` 的形状都是 `(105,)`。所以在进行 `|` 运算时，两个形状不兼容，导致了这个错误。

你需要确认你的代码是否正确，检查你的切片操作是否正确，并且确保你的数组形状是一致的。如果你无法解决这个问题，可以将你的代码和具体错误信息提供给我，我会帮助你更好地解决这个问题。