April 2019
Intermediate to advanced
426 pages
11h 13m
English
Content preview from Mastering Python for Finance - Second Edition
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Finding the required forward strike prices
The forward strike price is the strike price immediately below the forward SPX level, denoted by k0, and is determined by the find_k0() function, written as follows:
In [ ]: def find_k0(df, f): return df[df.index<f].tail(1).index.values[0]
The value of k0 of the near-term option can simply be found with the function call:
The near-term forward strike price is found to be 2745.
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