taylor taylor - 2 months ago 13
Python Question

NameError:my function has not be defined

This is my python code in ipython notebook

import sys
sys.path.append('C:/Users/dell/.ipynb_checkpoints/bsm_functions.py')
tol=0.5
for option in options_data.index:
forward=futures_data[futures_data['MATURITY']==\
options_data.loc[option]['MATURITY']]['PRICE'].values[0]
if(forward*(1-tol)<options_data.loc[option]['STRIKE']
<forward*(1+tol)):
imp_vol=bsm_call_imp_vol(v0,
options_data.loc[option]['STRIKE'],
options_data.loc[option]['TTM'],r,
options_data.loc[option]['PRICE'],
sigma_est=2,it=100)
options_data['IMP_VOL'].loc[option]=imp_vol


this the module I wrote:

def bsm_call_value(S0,K,T,r,sigma):
from math import log,sqrt,exp
from scipy import stats
S0=float(S0)
d1=(log(S0/K)+(r+0.5*sigma**2)*T)/(sigma*sqrt(T))
d2=(log(S0/K)+(r-0.5*sigma**2)*T)/(sigma*sqrt(T))
value=(S0*stats.norm.cdf(d1,0.0,1.0)-K*exp(-r- T)*stats.norm.cdf(d2,0.0,1.0))
return value
def bsm_vega(S0,K,T,r,sigma):
from math import log,sqrt
from scipy import stats
S0=float(S0)
d1 = (log(S0 / K) + (r + 0.5 * sigma ** 2) * T) / (sigma * sqrt(T))
vega=S0*stats.norm.cdf(d1,0.0,1.0)*sqrt(T)
return vega
def bsm_call_imp_vol(S0,K,T,r,C0,sigma_est,it=100):
for i in range(it):
sigma_est-=((bsm_call_value(S0,K,T,r,sigma_est)-C0)/bsm_vega(S0,K,T,r,sigma_est))
return sigma_est


my error is:

name 'bsm_call_imp_vol' is not defined


I do not know the reason of this error

Answer

You need to import your module. You add the parent directory of a module to your sys.path, then import names from the module:

sys.path.append('C:/Users/dell/.ipynb_checkpoints')
from bsm_functions import bsm_call_imp_vol

Adding the path to a .py file itself to sys.path does not import the module.