Python TrinomialLattice Examples

Example #1

File: trinomial_lattice_com.py Project: andrewhor/python_for_finance

 def pricer(self, S0, K, r, T, N, sigma, is_call=True, div=0., is_eu=False):
     model = TrinomialLattice(S0, K, r, T, N,
                              {"sigma": sigma,
                               "div": div,
                               "is_call": is_call,
                               "is_eu": is_eu})
     return model.price()

Example #2

File: trinomial_lattice_com.py Project: Deedeedi/Mastering-Python-for-Finance-source-codes

 def pricer(self, S0, K, r, T, N, sigma,
            is_call=True, div=0., is_eu=False):
     model = TrinomialLattice(S0, K, r, T, N,
                              {"sigma": sigma,
                               "div": div,
                               "is_call": is_call,
                               "is_eu": is_eu})
     return model.price()

Example #3

File: TrinomialLattice.py Project: menquist/Michael_Enquist

        for i in range(self.M)[1:]:
            self.STs[i] = self.STs[i - 1] * self.d

    def _initialize_payoffs_tree_(self):
        return np.maximum(0, (self.STs - self.K) if self.is_call else
                          (self.K - self.STs))

    def __check_early_exercise__(self, payoffs, node):
        self.STs = self.STs[1:-1]  # Shorten the ends of the list
        early_ex_payoffs = \
            (self.STs-self.K) if self.is_call \
            else(self.K-self.STs)
        payoffs = np.maximum(payoffs, early_ex_payoffs)

        return payoffs


if __name__ == "__main__":
    from TrinomialLattice import TrinomialLattice
    eu_option = TrinomialLattice(50, 50, 0.05, 0.5, 2, {
        "sigma": 0.3,
        "is_call": False
    })
    print("European put: %s" % eu_option.price())

    am_option = TrinomialLattice(50, 50, 0.05, 0.5, 2, {
        "sigma": 0.3,
        "is_call": False,
        "is_eu": False
    })
    print("American put: %s" % am_option.price())

Example #4

File: TrinomialLattice.py Project: xuyaocareer/Mastering-Python-for-Finance

        self.STs[0] = self.S0 * self.u**self.N

        for i in range(self.M)[1:]:
            self.STs[i] = self.STs[i-1]*self.d

    def _initialize_payoffs_tree_(self):
        return np.maximum(
            0, (self.STs-self.K) if self.is_call
            else(self.K-self.STs))

    def __check_early_exercise__(self, payoffs, node):
        self.STs = self.STs[1:-1]  # Shorten the ends of the list
        early_ex_payoffs = \
            (self.STs-self.K) if self.is_call \
            else(self.K-self.STs)
        payoffs = np.maximum(payoffs, early_ex_payoffs)

        return payoffs

if __name__ == "__main__":
    from TrinomialLattice import TrinomialLattice
    eu_option = TrinomialLattice(
        50, 50, 0.05, 0.5, 2,
        {"sigma": 0.3, "is_call":False})
    print ("European put: %s" % eu_option.price())

    am_option = TrinomialLattice(
        50, 50, 0.05, 0.5, 2,
        {"sigma": 0.3, "is_call": False, "is_eu": False})
    print ("American put: %s" % am_option.price())