早期寫的python障礙式期權(quán)的定價腳本,供大家參考,具體內(nèi)容如下
10年積累的網(wǎng)站建設(shè)、成都網(wǎng)站制作經(jīng)驗(yàn),可以快速應(yīng)對客戶對網(wǎng)站的新想法和需求。提供各種問題對應(yīng)的解決方案。讓選擇我們的客戶得到更好、更有力的網(wǎng)絡(luò)服務(wù)。我雖然不認(rèn)識你,你也不認(rèn)識我。但先制作網(wǎng)站后付款的網(wǎng)站建設(shè)流程,更有洞口免費(fèi)網(wǎng)站建設(shè)讓你可以放心的選擇與我們合作。#coding:utf-8 ''' 障礙期權(quán) q=x/s H = h/x H 障礙價格 [1] Down-and-in call cdi [2] Up-and-in call cui [3] Down-and-in put pdi [4] Up-and-in put pui [5] Down-and-out call cdo [6] Up-and-out call cuo [7] Down-and-out put pdo [8] Up-and-out put puo ''' from math import log,sqrt,exp,ceil from scipy import stats import datetime import tushare as ts import pandas as pd import numpy as np import random import time as timess import os def get_codes(path='D:\\code\\20180313.xlsx'): #從代碼表格從獲取代碼 codes = pd.read_excel(path) codes = codes.iloc[:,1] return codes def get_datas(code,N=1,path='D:\\data\\'): #獲取數(shù)據(jù)N=1當(dāng)天數(shù)據(jù) datas = pd.read_csv(path+eval(code)+'.csv',encoding='gbk',skiprows=2,header=None,skipfooter=N,engine='python').dropna() #讀取CSV文件 名稱為股票代碼 解gbk skiprows跳過前兩行文字 第一行不做為表頭 date_c = datas.iloc[:,[0,4,5]] #只用第0 列代碼數(shù)據(jù)和第4列收盤價數(shù)據(jù) date_c.index = datas[0] return date_c def get_sigma(close,std_th): x_i = np.log(close/close.shift(1)).dropna() sigma = x_i.rolling(window=std_th).std().dropna()*sqrt(244) return sigma def get_mu(sigma,r): mu = (r-pow(sigma,2)/2)/pow(sigma,2) return mu def get_lambda(mu,r,sigma): lam = sqrt(mu*mu+2*r/pow(sigma,2)) return lam def x_y(sigma,T,mu,H,lam,q=1): x1 = log(1/q)/(sigma*sqrt(T))+(1+mu)*sigma*sqrt(T) x2 = log(1/(q*H))/(sigma*sqrt(T))+(1+mu)*sigma*sqrt(T) y1 = log(H*H/q)/(sigma*sqrt(T))+(1+mu)*sigma*sqrt(T) y2 = log(q*H)/(sigma*sqrt(T))+(1+mu)*sigma*sqrt(T) z = log(q*H)/(sigma*sqrt(T))+lam*sigma*sqrt(T) return x1,x2,y1,y2,z def get_standardBarrier(eta,phi,mu,sigma,r,T,H,lam,x1,x2,y1,y2,z,q=1): f1 = phi*1*stats.norm.cdf(phi*x1,0.0,1.0)-phi*q*exp(-r*T)*stats.norm.cdf(phi*x1-phi*sigma*sqrt(T),0.0,1.0) f2 = phi*1*stats.norm.cdf(phi*x2,0.0,1.0)-phi*q*exp(-r*T)*stats.norm.cdf(phi*x2-phi*sigma*sqrt(T),0.0,1.0) f3 = phi*1*pow(H*q,2*(mu+1))*stats.norm.cdf(eta*y1,0.0,1.0)-phi*q*exp(-r*T)*pow(H*q,2*mu)*stats.norm.cdf(eta*y1-eta*sigma*sqrt(T),0.0,1.0) f4 = phi*1*pow(H*q,2*(mu+1))*stats.norm.cdf(eta*y2,0.0,1.0)-phi*q*exp(-r*T)*pow(H*q,2*mu)*stats.norm.cdf(eta*y2-eta*sigma*sqrt(T),0.0,1.0) f5 = (H-1)*exp(-r*T)*(stats.norm.cdf(eta*x2-eta*sigma*sqrt(T),0.0,1.0)-pow(H*q,2*mu)*stats.norm.cdf(eta*y2-eta*sigma*sqrt(T),0.0,1.0)) f6 = (H-1)*(pow(H*q,(mu+lam))*stats.norm.cdf(eta*z,0.0,1.0)+pow(H*q,(mu-lam))*stats.norm.cdf(eta*z-2*eta*lam*sigma*sqrt(T),0.0,1.0)) return f1,f2,f3,f4,f5,f6 def main(param,t,r=0.065): typeflag = ['cdi','cdo','cui','cuo','pdi','pdo','pui','puo'] r = log(1+r) T = t/365 codes = get_codes() H = 1.2 for i in range(len(codes)): sdbs = [] for j in typeflag: code = codes.iloc[i] datas = get_datas(code) close = datas[4] sigma = get_sigma(close,40)[-1] mu = get_mu(sigma,r) lam = get_lambda(mu,r,sigma) x1,x2,y1,y2,z = x_y(sigma,T,mu,H,lam) eta = param[j]['eta'] phi = param[j]['phi'] f1,f2,f3,f4,f5,f6 = get_standardBarrier(eta,phi,mu,sigma,r,T,H,lam,x1,x2,y1,y2,z) if j=='cdi': sdb = f1-f2+f4+f5 if j=='cui': sdb = f2-f3+f4+f5 if j=='pdi': sdb = f1+f5 if j=='pui': sdb = f3+f5 if j=='cdo': sdb = f2+f6-f4 if j=='cuo': sdb = f1-f2+f3-f4+f6 if j=='pdo': sdb = f6 if j=='puo': sdb = f1-f3+f6 sdbs.append(sdb) print(T,r,sigma,H,sdbs) if __name__ == '__main__': param = {'cdi':{'eta':1,'phi':1},'cdo':{'eta':1,'phi':1},'cui':{'eta':-1,'phi':1},'cuo':{'eta':-1,'phi':1}, 'pdi':{'eta':1,'phi':-1},'pdo':{'eta':1,'phi':-1},'pui':{'eta':-1,'phi':-1},'puo':{'eta':-1,'phi':-1}} t = 30 main(param,t)
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