我对Cython还不熟悉，我试着把Black(没有股票分红的Black Scholes)从Python转换成Cython。在编译之后，它不允许我实际使用这个函数。我相信经验丰富的人可以很容易地看到这一点并找出原因。在编译和导入函数from CyBlack import CyBlack并调用CyBlack(BlackPnL, Black_S, Black_Texpiry, Black_strike, Black_volatility, Black_IR, Black_callput)之后，我得到的错误是TypeError: 'module' object is not callable：所以下面是代码：from numpy cimport ndarray

cimport numpy as np

cimport cython

cdef extern from "math.h":

double exp(double)

double sqrt(double)

double pow(double)

double log(double)

double erf(double)

cdef double std_norm_cdf(double x):

return 0.5*(1+erf(x/sqrt(2.0)))

@cython.boundscheck(False)

cdef CyBlack(ndarray[np.float64_t, ndim=1] BlackPnL, ndarray[np.float64_t, ndim=1] Black_S, ndarray[np.float64_t, ndim=1] Black_Texpiry, ndarray[np.float64_t, ndim=1] Black_strike, ndarray [np.float64_t, ndim=1] Black_volatility, ndarray[np.float64_t, ndim=1] Black_IR, ndarray[np.float64_t, ndim=1] Black_callput):

cdef Py_ssize_t i

cdef Py_ssize_t N = BlackPnL.shape[0]

cdef double d1, d2

for i in range(N):

d1 = ((log(Black_S[i] / Black_strike[i]) + Black_Texpiry[i] * Black_volatility[i] **2 / 2)) / (Black_volatility[i] * sqrt(Black_Texpiry[i]))

d2 = d1 - Black_volatility[i] * sqrt(Black_Texpiry[i])

BlackPnL[i] = exp(-Black_IR[i] * Black_Texpiry[i]) * (Black_callput[i] * Black_S[i] * std_norm_cdf(Black_callput[i] * d1) - Black_callput[i] * Black_strike[i] * std_norm_cdf(Black_callput[i] * d2))

return BlackPnL

谢谢你的帮助！如果您需要测试，我可以发布python伪数据-尽管用任何数据调用它都会暴露错误。。。一些东西告诉我变量没有从C代码中暴露给Python。在

在这里添加我的setup.py，这样其他人就可以构建这种类型：python setup.py build_ext --inplace是用VS2015为python3.5 64位Windows构建的。在

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