请帮我修改下面代码中的错误# -*- coding: utf-8 -*- """ Created on Sun May 28 18:08:36 2023 @author: lll """ import numpy as np import matplotlib.pyplot as plt from scipy.optimize import brentq from scipy.stats import norm # 定义BS模型计算期权价格的函数 def bs_price(S, K, r, T, sigma, option='call'): d1 = (np.log(S/K) + (r + 0.5*sigma**2)*T) / (sigma*np.sqrt(T)) d2 = d1 - sigma*np.sqrt(T) if option == 'call': price = S*norm.cdf(d1) - K*np.exp(-r*T)*norm.cdf(d2) else: price = K*np.exp(-r*T)*norm.cdf(-d2) - S*norm.cdf(-d1) return price # 定义计算隐含波动率的函数 def implied_vol(S, K, r, T, price, option='call'): def f(sigma): return bs_price(S, K, r, T, sigma, option) - price return brentq(f, 0.001, 10) # 定义计算波动率微笑图形的函数 def smile_vol(S, r, T, vol_list, K_list, option='call'): implied_vol_list = [] for K, vol in zip(K_list, vol_list): price = bs_price(S, K, r, T, vol, option) implied_vol_list.append(implied_vol(S, K, r, T, price, option)) plt.plot(K_list, implied_vol_list) plt.xlabel('Strike') plt.ylabel('Implied Volatility') plt.title('Volatility Smile') plt.show() # 示例代码 S = 100 r = 0.05 T = 1 K_list = np.arange(80, 121, 5) vol_call_list = [0.2, 0.3, 0.4, 0.5, 0.6] vol_put_list = [0.6, 0.5, 0.4, 0.3, 0.2] smile_vol(S, r, T, vol_call_list, K_list, option='call') smile_vol(S, r, T, vol_put_list, K_list, option='put')
时间: 2023-12-28 17:06:02 浏览: 92
这段代码看起来没有明显的语法错误,但是我注意到在函数`smile_vol`中,`vol_list`和`K_list`的长度必须相等,否则会出现错误。
如果你遇到了任何其他错误,请提供错误信息以便进一步调试。
以下是修改后的代码:
```python
# -*- coding: utf-8 -*-
"""
Created on Sun May 28 18:08:36 2023
@author: lll
"""
import numpy as np
import matplotlib.pyplot as plt
from scipy.optimize import brentq
from scipy.stats import norm
# 定义BS模型计算期权价格的函数
def bs_price(S, K, r, T, sigma, option='call'):
d1 = (np.log(S/K) + (r + 0.5*sigma**2)*T) / (sigma*np.sqrt(T))
d2 = d1 - sigma*np.sqrt(T)
if option == 'call':
price = S*norm.cdf(d1) - K*np.exp(-r*T)*norm.cdf(d2)
else:
price = K*np.exp(-r*T)*norm.cdf(-d2) - S*norm.cdf(-d1)
return price
# 定义计算隐含波动率的函数
def implied_vol(S, K, r, T, price, option='call'):
def f(sigma):
return bs_price(S, K, r, T, sigma, option) - price
return brentq(f, 0.001, 10)
# 定义计算波动率微笑图形的函数
def smile_vol(S, r, T, vol_list, K_list, option='call'):
if len(vol_list) != len(K_list):
raise ValueError("Lengths of vol_list and K_list must be equal.")
implied_vol_list = []
for K, vol in zip(K_list, vol_list):
price = bs_price(S, K, r, T, vol, option)
implied_vol_list.append(implied_vol(S, K, r, T, price, option))
plt.plot(K_list, implied_vol_list)
plt.xlabel('Strike')
plt.ylabel('Implied Volatility')
plt.title('Volatility Smile')
plt.show()
# 示例代码
S = 100
r = 0.05
T = 1
K_list = np.arange(80, 121, 5)
vol_call_list = [0.2, 0.3, 0.4, 0.5, 0.6]
vol_put_list = [0.6, 0.5, 0.4, 0.3, 0.2]
smile_vol(S, r, T, vol_call_list, K_list, option='call')
smile_vol(S, r, T, vol_put_list, K_list, option='put')
```
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