from JapanOption import OkanoOption, Portfolio, setting
import matplotlib.pyplot as plt
import numpy as np
import pandas as pd
import seaborn as sns
sns.set_style('darkgrid')
p = Portfolio("""
07/P21000[1]!34
""")
x = np.arange(21400, 21800) # グラフを描く�?囲(現�?産価格�?囲?�?
setting(21760, 15, 20190701) # マ�?�ケ�?ト情報1?�?IV26?�?と仮定�?
fig, ax = plt.subplots(2, 1)
ax[0].plot(x, np.vectorize(p.v)(x), label='Ratio_July01')
setting(evaluationDate=20190702) # 日付を7日に経過させたものもグラフ描画
ax[0].plot(x, np.vectorize(p.v)(x), label='Ratio_July07')
ax[0].plot(x, np.vectorize(p.pay)(x), label='Payoff', linestyle="dashed")
ax[0].legend(loc="best")
# ax[0].axis('off')
data = []
for op, num in zip(p.items, p.nums):
data.append(op.getGreeks(num))
subjects = ['δ', 'γ', 'θ', 'κ']
import numpy as np
import pandas as pd
import seaborn as sns
sns.set_style('darkgrid')
p = Portfolio("""
06/C22000[1]!210
06/C22125[-2]!170
06/P19750[1]!155
06/P19625[-2]!140
06/P18750[1]!70
""")
x = np.arange(19000, 23000) # グラフを描く�?囲(現�?産価格�?囲?�?
setting(21150, 26, 20190604) # マ�?�ケ�?ト情報1?�?IV26?�?と仮定�?
fig, ax = plt.subplots(2, 1)
ax[0].plot(x, np.vectorize(p.v)(x), label='Butterfly_Jun04')
setting(evaluationDate=20190607) # 日付を7日に経過させたものもグラフ描画
ax[0].plot(x, np.vectorize(p.v)(x), label='Butterfly_Jun7')
ax[0].plot(x, np.vectorize(p.pay)(x), label='Payoff', linestyle="dashed")
ax[0].legend(loc="best")
# ax[0].axis('off')
data = []
for op, num in zip(p.items, p.nums):
data.append(op.getGreeks(num))
subjects = ['δ', 'γ', 'θ', 'κ']
import matplotlib.pyplot as plt
import numpy as np
import pandas as pd
import seaborn as sns
sns.set_style('darkgrid')
p = Portfolio("""
07/C21250[-1]!336
08/C21250[1]!473
07/P21250[-1]!360
08/P21250[1]!503
""")
x = np.arange(20000, 22500) # グラフを描く�?囲(現�?産価格�?囲?�?
setting(21260, 15, 20190624) # マ�?�ケ�?ト情報1?�?IV26?�?と仮定�?
fig, ax = plt.subplots(2, 1)
ax[0].plot(x, np.vectorize(p.v)(x), label='Ratio_June24')
setting(evaluationDate=20190630) # 日付を7日に経過させたものもグラフ描画
ax[0].plot(x, np.vectorize(p.v)(x), label='Ratio_June30')
setting(evaluationDate=20190707) # 日付を7日に経過させたものもグラフ描画
ax[0].plot(x, np.vectorize(p.v)(x), label='Ratio_July07')
ax[0].plot(x, np.vectorize(p.pay)(x), label='Payoff', linestyle="dashed")
ax[0].legend(loc="best")
# ax[0].axis('off')
data = []
for op, num in zip(p.items, p.nums):
data.append(op.getGreeks(num))