January 2020
Beginner to intermediate
432 pages
11h 24m
English
Content preview from Python for Finance Cookbook
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How to do it...
Execute the following steps to price American options using Quantlib.
- Import the library:
import QuantLib as ql
- Specify the calendar and the day counting convention:
calendar = ql.UnitedStates()day_counter = ql.ActualActual()
- Specify the valuation date and the expiry date of the option:
valuation_date = ql.Date(1, 1, 2018)expiry_date = ql.Date(1, 1, 2019)ql.Settings.instance().evaluationDate = valuation_date
- Define the option type (call/put), type of exercise, and the payoff:
if OPTION_TYPE == 'call': option_type_ql = ql.Option.Call elif OPTION_TYPE == 'put': option_type_ql = ql.Option.Put exercise = ql.AmericanExercise(valuation_date, expiry_date) payoff = ql.PlainVanillaPayoff(option_type_ql, K)
- Prepare the ...
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