Update black_scholes.py

Bug fix fwd delta
jkirkby3 · Apr 22, 2024 · 94d5b02 · 94d5b02
1 parent 787f443
commit 94d5b02
Showing 1 changed file with 1 addition and 1 deletion.
diff --git a/fypy/pricing/analytical/black_scholes.py b/fypy/pricing/analytical/black_scholes.py
@@ -210,7 +210,7 @@ def black76_delta(F: float,
     phi = 1 if is_call else -1
     d_1 = (np.log(F / K) + 0.5 * vol_st ** 2) / vol_st
     delta = phi * norm.cdf(phi * d_1)
-    if is_fwd_delta:
+    if not is_fwd_delta:
         delta *= div_disc
     return delta