我不确定是否丢失了一个导入,但我看不到一种方法可以让pyql
中的任何一个希腊选项:
from quantlib.instruments.api import AmericanExercise, VanillaOption, Put, Call
from quantlib.instruments.payoffs import PlainVanillaPayoff
from quantlib.pricingengines.api import BaroneAdesiWhaleyApproximationEngine
from quantlib.pricingengines.api import FDAmericanEngine
from quantlib.processes.black_scholes_process import BlackScholesMertonProcess
from quantlib.quotes import SimpleQuote
from quantlib.settings import Settings
from quantlib.time.api import Actual365Fixed, Date, May, Mar, TARGET
from quantlib.termstructures.volatility.equityfx.black_vol_term_structure \
import BlackConstantVol
from quantlib.termstructures.yields.api import FlatForward
option = VanillaOption(payoff, exercise)
如何获得此选项的增量?在
看起来希腊人只是在某些情况下才被提供。我不知道为什么内置引擎不只是提供给希腊人,正如视频中所解释的:
https://www.youtube.com/watch?v=MgUlBB59Ll0
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