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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731
20
장
포트폴리오 가치 평가
**Constants**
maturity 2020-12-31 00:00:00
strike 40.0
currency EUR
**Lists**
**Curves**
OPTION TYPE
American
PAYOFF FUNCTION
np.maximum(strike - instrument_values, 0)
➊
파생상품용
dx.market_environment
객체
➋
파생상품의 페이오프 함수
➌
derivatives_position
객체 생성
20.2
파생상품 포트폴리오
포트폴리오 관점에서 관련된 시장은 가치 평가 대상인 파생상품과 파생상품 포지션뿐만 아니
라 관련된 위험 요인(기초 자산), 그 사이의 상관관계로 구성된다. 이론적으로는
17
장에서 정
의한 일반적인 시장 모형
ℳ
을 다루며, 그와 관련된 자산 가격결정 기본 원리를 사용한다.
1
20.2.1
클래스
다음은 자산 가격결정 기본 원리에 기반하여 복수의 관련 위험 요인과 파생상품 포지션을 고려
하는 복잡한 포트폴리오의 가치 평가 클래스다. 이 클래스는 기능을 구현한 부분에 비교적 자
세한 주석을 추가했다.
1
여기에서 사용하는 방법론은 상품별 가치 평가가 아닌 전역 가치 평가라고 불린다. 자세한 내용은
Risk
Magazine
의
Albanese
,
Gimonet
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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.
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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.