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263 | 263 | },
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264 | 264 | {
|
265 | 265 | "cell_type": "code",
|
266 |
| - "execution_count": 1, |
| 266 | + "execution_count": 4, |
267 | 267 | "id": "86a8da01",
|
268 | 268 | "metadata": {},
|
269 | 269 | "outputs": [],
|
|
324 | 324 | },
|
325 | 325 | {
|
326 | 326 | "cell_type": "code",
|
327 |
| - "execution_count": 21, |
| 327 | + "execution_count": 6, |
328 | 328 | "id": "b27d7fc3",
|
329 | 329 | "metadata": {},
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330 | 330 | "outputs": [],
|
|
374 | 374 | },
|
375 | 375 | {
|
376 | 376 | "cell_type": "code",
|
377 |
| - "execution_count": 22, |
| 377 | + "execution_count": 7, |
378 | 378 | "id": "f29f07ef",
|
379 | 379 | "metadata": {},
|
380 | 380 | "outputs": [],
|
|
417 | 417 | },
|
418 | 418 | {
|
419 | 419 | "cell_type": "code",
|
420 |
| - "execution_count": 23, |
| 420 | + "execution_count": 8, |
421 | 421 | "id": "0e129f19",
|
422 | 422 | "metadata": {},
|
423 | 423 | "outputs": [],
|
424 | 424 | "source": [
|
425 | 425 | "ticker = \"MSFT\"\n",
|
426 |
| - "expiration_date = \"2024-11-15\" # Example expiration date in 'YYYY-MM-DD' form\n", |
| 426 | + "expiration_date = \"2024-12-06\" # Example expiration date in 'YYYY-MM-DD' form\n", |
427 | 427 | "\n",
|
428 | 428 | "market_data = get_market_data(ticker=ticker, expiration_date_str=expiration_date)"
|
429 | 429 | ]
|
|
440 | 440 | },
|
441 | 441 | {
|
442 | 442 | "cell_type": "code",
|
443 |
| - "execution_count": 24, |
| 443 | + "execution_count": 9, |
444 | 444 | "id": "d28df598",
|
445 | 445 | "metadata": {},
|
446 | 446 | "outputs": [],
|
|
459 | 459 | },
|
460 | 460 | {
|
461 | 461 | "cell_type": "code",
|
462 |
| - "execution_count": 25, |
| 462 | + "execution_count": 10, |
463 | 463 | "id": "dc070da8",
|
464 | 464 | "metadata": {},
|
465 | 465 | "outputs": [],
|
|
589 | 589 | "metadata": {},
|
590 | 590 | "outputs": [],
|
591 | 591 | "source": [
|
592 |
| - "calculation_date = ql.Date(4, 11, 2024)\n", |
| 592 | + "calculation_date = ql.Date(26, 11, 2024)\n", |
593 | 593 | "# Convert expiration date string to QuantLib.Date\n",
|
594 | 594 | "expiry_date_parts = list(map(int, expiration_date.split('-')))\n",
|
595 | 595 | "maturity_date = ql.Date(expiry_date_parts[2], expiry_date_parts[1], expiry_date_parts[0])\n",
|
|
637 | 637 | },
|
638 | 638 | {
|
639 | 639 | "cell_type": "code",
|
640 |
| - "execution_count": 27, |
| 640 | + "execution_count": 12, |
641 | 641 | "id": "810cf887",
|
642 | 642 | "metadata": {},
|
643 | 643 | "outputs": [],
|
|
686 | 686 | "\n",
|
687 | 687 | " }\n",
|
688 | 688 | " df1 = pd.DataFrame(data)\n",
|
689 |
| - "\n", |
690 | 689 | " return {\"strikes variation benchmarking\": df1}"
|
691 | 690 | ]
|
692 | 691 | },
|
|
725 | 724 | },
|
726 | 725 | {
|
727 | 726 | "cell_type": "code",
|
728 |
| - "execution_count": 29, |
| 727 | + "execution_count": 14, |
729 | 728 | "id": "80492c82",
|
730 | 729 | "metadata": {},
|
731 | 730 | "outputs": [],
|
|
784 | 783 | },
|
785 | 784 | {
|
786 | 785 | "cell_type": "code",
|
787 |
| - "execution_count": 30, |
| 786 | + "execution_count": 15, |
788 | 787 | "id": "4862005d",
|
789 | 788 | "metadata": {},
|
790 | 789 | "outputs": [],
|
|
811 | 810 | },
|
812 | 811 | {
|
813 | 812 | "cell_type": "code",
|
814 |
| - "execution_count": 31, |
| 813 | + "execution_count": 16, |
815 | 814 | "id": "b2115371",
|
816 | 815 | "metadata": {},
|
817 | 816 | "outputs": [],
|
|
854 | 853 | "result.log()\n",
|
855 | 854 | "# Visualize how option prices change with different strike prices\n",
|
856 | 855 | "plot_results(\n",
|
857 |
| - " pd.DataFrame(result.metric.summary.results[0].data),\n", |
| 856 | + " pd.DataFrame(result.tables[0].data),\n", |
858 | 857 | " params={\n",
|
859 | 858 | " \"x\": \"strike_price\",\n",
|
860 |
| - " \"y\":\"value\",\n", |
| 859 | + " \"y\":\"Value\",\n", |
861 | 860 | " \"label\":\"Strike price\",\n",
|
862 | 861 | " \"xlabel\":\"Strike price\",\n",
|
863 | 862 | " \"ylabel\":\"option price\",\n",
|
|
878 | 877 | },
|
879 | 878 | {
|
880 | 879 | "cell_type": "code",
|
881 |
| - "execution_count": 33, |
| 880 | + "execution_count": 18, |
882 | 881 | "id": "b977f2e3",
|
883 | 882 | "metadata": {},
|
884 | 883 | "outputs": [],
|
|
1151 | 1150 | "name": "python",
|
1152 | 1151 | "nbconvert_exporter": "python",
|
1153 | 1152 | "pygments_lexer": "ipython3",
|
1154 |
| - "version": "3.11.5" |
| 1153 | + "version": "3.10.14" |
1155 | 1154 | }
|
1156 | 1155 | },
|
1157 | 1156 | "nbformat": 4,
|
|
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