#14671: Adding Black-Scholes to Sage finance
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Reporter: Zaxis | Owner: Zaxis
Type: enhancement | Status: needs_work
Priority: major | Milestone: sage-5.11
Component: finance | Resolution:
Keywords: Black-Scholes, finance, options | Work issues:
Report Upstream: N/A | Reviewers:
Authors: Brian Manion | Merged in:
Dependencies: | Stopgaps:
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Changes (by was):
* status: needs_review => needs_work
Comment:
(1) Add a blankline after the second EXAMPLES::
(2) Many doctests fail due to platform-dependent precision issues; one
should use the tolerance support to fix this, which is described here:
http://www.sagemath.org/doc/developer/conventions.html?highlight=conventions
{{{
~/sage-5.10.rc0$ sage -t devel/sage/sage/finance/option.pyx
Running doctests with ID 2013-06-12-11-04-15-11ddf8bd.
Doctesting 1 file.
sage -t devel/sage/sage/finance/option.pyx
**********************************************************************
File "devel/sage/sage/finance/option.pyx", line 32, in
sage.finance.option.black_scholes
Failed example:
finance.black_scholes(42, 40, 0.5, 0.1, 0.2, 'call')
Expected:
4.759422392871532
Got:
4.759422392871535
**********************************************************************
File "devel/sage/sage/finance/option.pyx", line 82, in
sage.finance.option._std_norm_cdf
Failed example:
x = _std_norm_cdf(1.96); x
...
}}}
--
Ticket URL: <http://trac.sagemath.org/sage_trac/ticket/14671#comment:10>
Sage <http://www.sagemath.org>
Sage: Creating a Viable Open Source Alternative to Magma, Maple, Mathematica,
and MATLAB
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