Python bs_put Examples

Example #1

File: 4375OS_11_22_barrier_down_and_in_put.py Project: PlamenStilyianov/Python

def down_and_in_put(s0,x,T,r,sigma,n_simulation,barrier):
    n_steps=100.    
    dt=T/n_steps
    total=0
    for j in range(0, n_simulation):
        sT=s0
        in_=False
        for i in range(0,int(n_steps)):
            e=sp.random.normal()
            sT*=sp.exp((r-0.5*sigma*sigma)*dt+sigma*e*sp.sqrt(dt))
            if sT<barrier:
                in_=True
                #print 'sT=',sT
        #print 'j=',j ,'out=',out
        if in_==True:
            total+=p4f.bs_put(s0,x,T,r,sigma)
    return total/n_simulation    

Example #2

def down_and_in_put(s0, x, T, r, sigma, n_simulation, barrier):
    n_steps = 100.
    dt = T / n_steps
    total = 0
    for j in range(0, n_simulation):
        sT = s0
        in_ = False
        for i in range(0, int(n_steps)):
            e = sp.random.normal()
            sT *= sp.exp((r - 0.5 * sigma * sigma) * dt +
                         sigma * e * sp.sqrt(dt))
            if sT < barrier:
                in_ = True
                #print 'sT=',sT
        #print 'j=',j ,'out=',out
        if in_ == True:
            total += p4f.bs_put(s0, x, T, r, sigma)
    return total / n_simulation

Example #3

File: 4375OS_10_23_if_one_loop_and_break_implied_vol_using_put.py Project: peterpeng1993/learngit

"""
  Name     : 4375OS_10_23_if_one_loop_and_break_implied_vol_using_put.py
  Book     : Python for Finance
  Publisher: Packt Publishing Ltd. 
  Author   : Yuxing Yan
  Date     : 12/26/2013
  email    : [email protected]
             [email protected]
"""

import p4f 
S=40;K=40;T=0.5;r=0.05;sigma=0.2;p=1.77
diff=1;i=1
sigma_old=0.005
sign_1=sign(p-p4f.bs_put(S,K,T,r,sigma_old))
while(1==1):
    sigma=0.0001*(i+1)
    sign_2=sign(p-p4f.bs_put(S,K,T,r,sigma))
    i+=1
    if sign_1*sign_2<0:
        break
    else:
        sigma_old=sigma
print('i, implied-vol, diff')
print(i,(sigma_old+sigma)/2, diff)

Example #4

"""
  Name     : 4375OS_10_25_impliws_col_using_put.py
  Book     : Python for Finance
  Publisher: Packt Publishing Ltd. 
  Author   : Yuxing Yan
  Date     : 12/26/2013
  email    : [email protected]
             [email protected]
"""

import p4f
S = 40
K = 40
T = 0.5
r = 0.05
sigma = 0.2
p = 1.77
diff = 1
i = 1
while abs(diff) > 0.01:
    sigma = 0.005 * (i + 1)
    diff = p - p4f.bs_put(S, K, T, r, sigma)
    i += 1
print('i, implied-vol, diff')
print(i, sigma, diff)

Example #5

File: 4375OS_10_25_implied_vol_using_put.py Project: PlamenStilyianov/Python

"""
  Name     : 4375OS_10_25_impliws_col_using_put.py
  Book     : Python for Finance
  Publisher: Packt Publishing Ltd. 
  Author   : Yuxing Yan
  Date     : 12/26/2013
  email    : [email protected]
             [email protected]
"""


import p4f 
S=40;K=40;T=0.5;r=0.05;sigma=0.2;p=1.77
diff=1;i=1
while abs(diff)>0.01:
    sigma=0.005*(i+1)
    diff=p-p4f.bs_put(S,K,T,r,sigma)
    i+=1
print('i, implied-vol, diff')
print(i,sigma, diff)

Example #6

File: 4375OS_10_23_if_one_loop_and_break_implied_vol_using_put.py Project: PlamenStilyianov/Python

"""
  Name     : 4375OS_10_23_if_one_loop_and_break_implied_vol_using_put.py
  Book     : Python for Finance
  Publisher: Packt Publishing Ltd. 
  Author   : Yuxing Yan
  Date     : 12/26/2013
  email    : [email protected]
             [email protected]
"""

import p4f 
S=40;K=40;T=0.5;r=0.05;sigma=0.2;p=1.77
diff=1;i=1
sigma_old=0.005
sign_1=sign(p-p4f.bs_put(S,K,T,r,sigma_old))
while(1==1):
    sigma=0.0001*(i+1)
    sign_2=sign(p-p4f.bs_put(S,K,T,r,sigma))
    i+=1
    if sign_1*sign_2<0:
        break
    else:
        sigma_old=sigma
print('i, implied-vol, diff')
print(i,(sigma_old+sigma)/2, diff)