diff options
Diffstat (limited to 'python/notebooks/Option Trades.ipynb')
| -rw-r--r-- | python/notebooks/Option Trades.ipynb | 28 |
1 files changed, 16 insertions, 12 deletions
diff --git a/python/notebooks/Option Trades.ipynb b/python/notebooks/Option Trades.ipynb index 939d4cce..b72a4d85 100644 --- a/python/notebooks/Option Trades.ipynb +++ b/python/notebooks/Option Trades.ipynb @@ -31,21 +31,25 @@ "source": [ "#Ad hoc\n", "option_delta = Index.from_name('HY', 29, '5yr')\n", - "option_delta.price = 107.375\n", - "option1 = BlackSwaption(option_delta, datetime.date(2017, 12, 20), 104, option_type=\"payer\")\n", - "option2 = BlackSwaption(option_delta, datetime.date(2017, 12, 20), 100, option_type=\"payer\")\n", - "option1.sigma = .415\n", - "option2.sigma = .563\n", - "option1.notional = 25_000_000\n", - "option2.notional = 25_000_000\n", - "option1.direction = 'Long'\n", - "option2.direction = 'Short'\n", + "option_delta.price = 107.5\n", + "option1 = BlackSwaption(option_delta, datetime.date(2017, 10, 18), 105, option_type=\"payer\")\n", + "option2 = BlackSwaption(option_delta, datetime.date(2017, 11, 15), 105, option_type=\"payer\")\n", + "option3 = BlackSwaption(option_delta, datetime.date(2017, 12, 20), 105, option_type=\"payer\")\n", + "option1.sigma = .459\n", + "option2.sigma = .378\n", + "option3.sigma = .377\n", + "option1.notional = 35_000_000\n", + "option2.notional = 15_000_000\n", + "option3.notional = 15_000_000\n", + "option1.direction = 'Short'\n", + "option2.direction = 'Long'\n", + "option3.direction = 'Long'\n", "#option_delta.notional = 1\n", - "option_delta.notional = option1.notional * option1.delta + option2.notional * option2.delta\n", + "option_delta.notional = option1.notional * option1.delta + option2.notional * option2.delta + option3.notional * option3.delta\n", "option_delta.direction = 'Seller' if option_delta.notional > 0 else 'Buyer'\n", "option_delta.notional = abs(option_delta.notional)\n", - "portf = Portfolio([option1, option2, option_delta])\n", - "spread.plot_trade_scenarios(portf, -.15, .8)" + "portf = Portfolio([option1, option2, option3, option_delta])\n", + "spread.plot_trade_scenarios(portf, -.15, .3)" ] }, { |