August 2022
Intermediate to advanced
689 pages
15h 46m
French
Content preview from Python pour la financeBecome an O’Reilly member and get unlimited access to this title plus top books and audiobooks from O’Reilly and nearly 200 top publishers, thousands of courses curated by job role, 150+ live events each month,
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CHAPITRE 17 Infrastructure d’évaluation
Les intérêts composés constituent la plus grande découverte mathématique de tous les temps.
—Albert Einstein
Ce premier chapitre de la section propose de mettre en place une infrastructure de développement pour la librairie financière DX. Il en présente les concepts fondamentaux. Nous commençons par revenir sur le théorème fondamental d’évaluation des actifs qui fournit l’assise théorique pour la simulation et l’évaluation. Nous abordons ensuite les importants concepts de gestion des dates et l’actualisation risque neutre. Nous nous limitons dans ce chapitre au cas le plus simple, celui d’actualisation par les taux courts constants. Des modèles plus réalistes et plus sophistiqués peuvent être ajoutés aisément ...
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