March 2022
Beginner to intermediate
796 pages
18h 14m
Korean
Content preview from 파이썬을 활용한 금융 분석(2판) : 파이썬의 기초부터 금융공학, 머신러닝, 퀀트 분석, 매매 시스템 구현까지
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708
5
부
파생상품 분석
TIP
유연한 페이오프
유러피안 행사 방식 옵션과 파생상품의 가치 평가에서는 임의의 페이오프 함수를 정의할 수 있도록 유연한 방
식을 취하고 있다. 이렇게 하면 (옵션의 경우) 조건부 행사나 (선도계약의 경우) 무조건부 행사 모두를 모형화할
수 있다. 또한 룩백 옵션 등의 이색
exotic
옵션도 포함시킬 수 있다.
19.2.2
사용 예
dx.valuation_mcs_european
클래스 사용법을 가장 잘 설명할 수 있는 방법은 실제 사용 예를
보여주는 것이다. 그런데 가치 평가 클래스를 사용하려면 우선 옵션의 기초 자산에 대한 시뮬
레이션 객체가 필요하다.
18
장에서 구현한
dx.geometric_brownian_motion
클래스를 사용하
여 기초 자산을 모형화한다.
In [64]: me_gbm = market_environment('me_gbm', dt.datetime(2020, 1, 1))
In [65]: me_gbm.add_constant('initial_value', 36.)
me_gbm.add_constant('volatility', 0.2)
me_gbm.add_constant('final_date', dt.datetime(2020, 12, 31))
me_gbm.add_constant('currency', 'EUR') ...
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O’Reilly covers everything we've got, with content to help us build a world-class technology community, upgrade the capabilities and competencies of our teams, and improve overall team performance as well as their engagement.Julian F.
I wanted to learn C and C++, but it didn't click for me until I picked up an O'Reilly book. When I went on the O’Reilly platform, I was astonished to find all the books there, plus live events and sandboxes so you could play around with the technology.Addison B.
I’ve been on the O’Reilly platform for more than eight years. I use a couple of learning platforms, but I'm on O'Reilly more than anybody else. When you're there, you start learning. I'm never disappointed.Amir M.
I'm always learning. So when I got on to O'Reilly, I was like a kid in a candy store. There are playlists. There are answers. There's on-demand training. It's worth its weight in gold, in terms of what it allows me to do.