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2 parents 2bda7df + c4cf1ba commit 4c3cbc0Copy full SHA for 4c3cbc0
src/blackscholes/put.py
@@ -54,7 +54,7 @@ def theta(self) -> float:
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with respect to time (i.e. time decay).
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"""
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return (
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- (-exp(self.q * self.T) * self.S * self._pdf(self._d1) * self.sigma)
+ (-exp(-self.q * self.T) * self.S * self._pdf(self._d1) * self.sigma)
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/ (2.0 * sqrt(self.T))
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) + (
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self.r * self.K * exp(-self.r * self.T) * self._cdf(-self._d2)
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