diff options
Diffstat (limited to 'python/notebooks/Option Trades.ipynb')
| -rw-r--r-- | python/notebooks/Option Trades.ipynb | 25 |
1 files changed, 12 insertions, 13 deletions
diff --git a/python/notebooks/Option Trades.ipynb b/python/notebooks/Option Trades.ipynb index 9def8e82..2e45602c 100644 --- a/python/notebooks/Option Trades.ipynb +++ b/python/notebooks/Option Trades.ipynb @@ -30,21 +30,20 @@ "outputs": [], "source": [ "#Ad hoc\n", - "option_delta = Index.from_name('HY', 28, '5yr')\n", - "option_delta.price = 107.625\n", - "option1 = BlackSwaption(option_delta, datetime.date(2017, 9, 20), 107, option_type=\"payer\")\n", - "option2 = BlackSwaption(option_delta, datetime.date(2017, 9, 20), 105, option_type=\"payer\")\n", - "option1.sigma = .270\n", - "option2.sigma = .3625\n", - "option1.notional = 20_000_000\n", - "option2.notional = 40_000_000\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.notional = -2000000\n", - "#option_delta.notional = option_delta.notional - option_delta2.notional\n", - "if option_delta.notional < 0:\n", - " option_delta.direction = 'Seller'\n", - " option_delta.notional = abs(option_delta.notional)\n", + "#option_delta.notional = 1\n", + "option_delta.notional = option1.notional * option1.delta + option2.notional * option2.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)" ] |