From 7e5b71b3e86ec40a314e174debc03d938afd1487 Mon Sep 17 00:00:00 2001 From: Sophia Gu <14866379+sophiagu@users.noreply.github.com> Date: Tue, 27 Oct 2020 07:37:39 -0400 Subject: [PATCH] Update delta_hedging_env.py --- gym-rlf/gym_rlf/envs/delta_hedging_env.py | 2 +- 1 file changed, 1 insertion(+), 1 deletion(-) diff --git a/gym-rlf/gym_rlf/envs/delta_hedging_env.py b/gym-rlf/gym_rlf/envs/delta_hedging_env.py index 6bdfb1a..fb923f1 100644 --- a/gym-rlf/gym_rlf/envs/delta_hedging_env.py +++ b/gym-rlf/gym_rlf/envs/delta_hedging_env.py @@ -96,7 +96,7 @@ def step(self, action): new_pos = self._positions[self._step_counts] = max(min(old_pos + ac, 0), -OptionSize) new_price = self._prices[self._step_counts] = self._next_price(old_price) new_option_price = self._option_prices[self._step_counts] =\ - BSM_call_price_and_delta(S0, self._L - self._step_counts, new_price, sigma_dh)[0] + BSM_call_price_and_delta(S0, self._L + 1 - self._step_counts, new_price, sigma_dh)[0] trade = new_pos - old_pos cost = self._costs[self._step_counts] = TickSize * (abs(trade) + .01 * trade**2)