# Nifty futures price
nifty_jul_fut = 11030.50
nifty_aug_fut = 11046.40

strike_price = 11000
jul_call_price = 85.20
aug_call_price = 201.70
setup_cost = aug_call_price - jul_call_price

# Today's date is 20 July 2018. Therefore, days to July expiry is 7 days and days to August expiry is 41 days.
days_to_expiry_jul_call = 7
days_to_expiry_aug_call = 41

# Range of values for Nifty
sT = np.arange(0.92*nifty_jul_fut, 1.1*nifty_aug_fut, 1)

# interest rate for input to Black-Scholes model
interest_rate = 0.0