Draw a Binomial Pricing Trees in Python

I'm going to build a single-page binary tree dashboard in Python and flask/django on calculated stock option's price, where it is similiar with the following project in R but I have two more requests, one is to run as a API using Flask/Django and secondly to use the the existing calculation model in python pacakge "qfrm" .

Preferably to embed the python package of "qprm" in the project, instead of my original scripting as below. But for the first step you can use this simpler code in Python 2.7 to protype your ideas.

from math import exp

# option input parameters

dt = input("Timesteps: ")

S = input("Initial spot price: ")

r = input("Risk-free discount rate: ")

K = input("Strike price: ")

p = input("Growth probability: ")

u = input("Growth factor: ")

N = input("Timesteps to expiration: ")

# Choose a Call or a Put

call = raw_input("Call or put? (C/P) ").upper().startswith("C")

def binary(k, us):

Stockprice = S * (u ** (2 * us - k))

if call:

profit = max(0, Stockprice - K)

else:

profit = max(0, K - Stockprice)

# If a leaf node

if k == N:

return profit

# Binomial value recursively

decay = exp(-r * dt)

expected = p * binary(k + 1, us + 1) + (1 - p) * binary(k + 1, us)

binomial = decay * expected

# If an American option

return max(binomial, profit)

print 'Got your option price: \$%.3f' % binary(0, 0)

Compétences : Django, Analyses financières, Flask, Mathématiques, Python

Concernant l'employeur :
( 1 commentaire ) Koto, Japan

Nº du projet : #17482244

Décerné à:

TrueLifes

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ThanassisKalv

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