Exemplo n.º 1
0
sud=s
c_suu=round(max(suu-x,0),2)
c_s=round(max(s-x,0),2)
c_sdd=round(max(sdd-x,0),2)
plt.figtext(0.8,0.94,'s*u*u')
plt.figtext(0.8,0.91,s_dollar+str(suu))
plt.figtext(0.8,0.87,c_dollar+str(c_suu))
plt.figtext(0.8,0.6,s_dollar+str(sud))
plt.figtext(0.8,0.64,'s*u*d=s')
plt.figtext(0.8,0.57,c_dollar+str(c_s))
plt.figtext(0.8,0.32,'s*d*d')
plt.figtext(0.8,0.28,s_dollar+str(sdd))
plt.figtext(0.8,0.24,c_dollar+str(c_sdd))
# at level 1
c_01=round((p*c_suu+(1-p)*c_s)*exp(-r*deltaT),2)
c_02=round((p*c_s+(1-p)*c_sdd)*exp(-r*deltaT),2)

plt.figtext(0.43,0.78,'s*u')
plt.figtext(0.43,0.74,s_dollar+str(su))
plt.figtext(0.43,0.71,c_dollar+str(c_01))
plt.figtext(0.43,0.32,'s*d')
plt.figtext(0.43,0.27,s_dollar+str(sd))
plt.figtext(0.43,0.23,c_dollar+str(c_02))
# at level 0 (today)
c_00=round(p*exp(-r*deltaT)*c_01+(1-p)*exp(-r*deltaT)*c_02,2)
plt.figtext(0.09,0.6,s_dollar+str(s))
plt.figtext(0.09,0.56,c_dollar+str(c_00))
p4f.binomial_grid(n)
show()
Exemplo n.º 2
0
from math import sqrt,exp
import matplotlib.pyplot as plt
import p4f as p4f
s=10;r=0.02;sigma=0.2;T=3./12;x=10
n=2;deltaT=T/n;q=0
u=exp(sigma*sqrt(deltaT));d=1/u
a=exp((r-q)*deltaT)
p=(a-d)/(u-d)
su=round(s*u,2);suu=round(s*u*u,2)
sd=round(s*d,2);sdd=round(s*d*d,2)
sud=2
plt.figtext(0.08,0.6,'Stock '+str(s))
plt.figtext(0.33,0.76,"Stock price=$"+str(su))
plt.figtext(0.33,0.27,'Stock price='+str(sd))
plt.figtext(0.75,0.91,'Stock price=$'+str(suu))
plt.figtext(0.75,0.6,'Stock price=$'+str(sud))
plt.figtext(0.75,0.28,"Stock price="+str(sdd))
p4f.binomial_grid(n)
plt.show()