Python画一个期权牛市价差策略的到期损益图 谢谢
时间: 2024-03-04 08:49:20 浏览: 238
期权的价差交易策略.ipynb
好的,以下是Python代码:
```
import matplotlib.pyplot as plt
import numpy as np
# 输入参数
strike_price_long_call = 50
premium_long_call = 2
strike_price_short_call = 60
premium_short_call = 1.5
# 定义函数计算损益
def calc_payoff(sT, strike_price_long_call, premium_long_call, strike_price_short_call, premium_short_call):
long_call_payoff = np.maximum(sT - strike_price_long_call, 0) - premium_long_call
short_call_payoff = -(np.maximum(sT - strike_price_short_call, 0) - premium_short_call)
return long_call_payoff + short_call_payoff
# 定义x轴范围
sT = np.arange(40, 70, 1)
# 计算对应x轴范围下的损益
payoff = calc_payoff(sT, strike_price_long_call, premium_long_call, strike_price_short_call, premium_short_call)
# 绘制图形
fig, ax = plt.subplots()
ax.spines['top'].set_visible(False)
ax.spines['right'].set_visible(False)
ax.spines['bottom'].set_position('zero')
ax.plot(sT, payoff, label='Payoff')
ax.legend()
plt.xlabel('Stock Price')
plt.ylabel('Profit and Loss')
plt.title('Bullish Vertical Spread Option Strategy Payoff Graph')
plt.show()
```
你可以根据自己的实际需求修改代码中的参数。该程序绘制的是期权牛市价差策略的到期损益图,也称为牛市垂直价差期权策略的图表。
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