{ "cells": [ { "cell_type": "code", "execution_count": 11, "metadata": {}, "outputs": [], "source": [ "import plotly.graph_objects as go\n", "\n", "from black_76 import *" ] }, { "cell_type": "code", "execution_count": 2, "metadata": {}, "outputs": [], "source": [ "# 定价参数\n", "underlying_price = 3000\n", "option_strike = 3000\n", "discount_rate = 0.03\n", "expiry_time = 0 # 到期日当天\n", "pricing_volatility = 0.2\n", "option_type = 1\n", "option_price = 70" ] }, { "cell_type": "code", "execution_count": 3, "metadata": {}, "outputs": [], "source": [ "# 这里定价模型做了改造，兼容到期日的计算\n", "def calculate_option_pnl(\n", " s: float,\n", " k: float,\n", " r: float,\n", " t: float,\n", " v: float,\n", " cp: int,\n", " price: float\n", ") -> float:\n", " \"\"\"计算单一期权到期盈亏\"\"\"\n", " p: float = calculate_price(s, k, r, t, v, cp)\n", " return p - price" ] }, { "cell_type": "code", "execution_count": 4, "metadata": {}, "outputs": [ { "data": { "text/plain": [ "-70" ] }, "execution_count": 4, "metadata": {}, "output_type": "execute_result" } ], "source": [ "# 测试到期日结果\n", "calculate_option_pnl(\n", " underlying_price,\n", " option_strike,\n", " discount_rate,\n", " expiry_time,\n", " pricing_volatility,\n", " option_type,\n", " option_price\n", ")" ] }, { "cell_type": "code", "execution_count": 19, "metadata": {}, "outputs": [], "source": [ "# 遍历不同到期情景计算结果\n", "results = {}\n", "\n", "for underlying_price in range(2000, 4050, 50):\n", " pnl = calculate_option_pnl(\n", " underlying_price,\n", " option_strike,\n", " discount_rate,\n", " expiry_time,\n", " pricing_volatility,\n", " option_type,\n", " option_price\n", " )\n", " results[underlying_price] = pnl" ] }, { "cell_type": "code", "execution_count": 20, "metadata": {}, "outputs": [ { "data": { "application/vnd.plotly.v1+json": { "config": { "plotlyServerURL": "https://plot.ly" }, "data": [ { "type": "scatter", "x": [ 2000, 2050, 2100, 2150, 2200, 2250, 2300, 2350, 2400, 2450, 2500, 2550, 2600, 2650, 2700, 2750, 2800, 2850, 2900, 2950, 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"ticks": "", "zerolinecolor": "white" }, "yaxis": { "backgroundcolor": "#E5ECF6", "gridcolor": "white", "gridwidth": 2, "linecolor": "white", "showbackground": true, "ticks": "", "zerolinecolor": "white" }, "zaxis": { "backgroundcolor": "#E5ECF6", "gridcolor": "white", "gridwidth": 2, "linecolor": "white", "showbackground": true, "ticks": "", "zerolinecolor": "white" } }, "shapedefaults": { "line": { "color": "#2a3f5f" } }, "ternary": { "aaxis": { "gridcolor": "white", "linecolor": "white", "ticks": "" }, "baxis": { "gridcolor": "white", "linecolor": "white", "ticks": "" }, "bgcolor": "#E5ECF6", "caxis": { "gridcolor": "white", "linecolor": "white", "ticks": "" } }, "title": { "x": 0.05 }, "xaxis": { "automargin": true, "gridcolor": "white", "linecolor": "white", "ticks": "", "title": { "standoff": 15 }, "zerolinecolor": "white", "zerolinewidth": 2 }, "yaxis": { "automargin": true, "gridcolor": "white", "linecolor": "white", "ticks": "", "title": { "standoff": 15 }, "zerolinecolor": "white", "zerolinewidth": 2 } } } } } }, "metadata": {}, "output_type": "display_data" } ], "source": [ "# 绘制价差结果图\n", "fig = go.Figure(data=go.Scatter(x=list(results.keys()), y=list(results.values())))\n", "fig.show()" ] }, { "cell_type": "code", "execution_count": null, "metadata": {}, "outputs": [], "source": [] } ], "metadata": { "kernelspec": { "display_name": "Python 3 (ipykernel)", "language": "python", "name": "python3" }, "language_info": { "codemirror_mode": { "name": "ipython", "version": 3 }, "file_extension": ".py", "mimetype": "text/x-python", "name": "python", "nbconvert_exporter": "python", "pygments_lexer": "ipython3", "version": "3.10.2" } }, "nbformat": 4, "nbformat_minor": 4 }