setPricingEngine导入pyq

Question

european_option = VanillaOption(payoff, exercise)


spot_handle = SimpleQuote(spot_price)
flat_ts = FlatForward(calculation_date, risk_free_rate, day_count)
dividend_yield = FlatForward(calculation_date, dividend_rate, day_count)
flat_vol_ts = BlackConstantVol(calculation_date, cal, volatility, day_count)

bsm_process = BlackScholesMertonProcess(spot_handle, 
                                        dividend_yield, 
                                        flat_ts, 
                                        flat_vol_ts)

european_option.setPricingEngine(AnalyticEuropeanEngine(bsm_process))

给出错误

  File "qlexam.py", line 63, in <module>
    european_option.setPricingEngine(AnalyticEuropeanEngine(bsm_process))
AttributeError: 'quantlib.instruments.option.VanillaOption' object has no attribute 'setPricingEngine'

我需要什么进口货

Answer 1

你不需要额外的导入。这个错误的原因是pyql开发人员已经导出了一些具有不同名称的QuantLib，以便遵循PEP 8，并且在Python中更为惯用。正确的电话是

european_option.set_pricing_engine(AnalyticEuropeanEngine(bsm_process))

从this pyql example可以看出