障碍期权定价 python_python障碍式期权定价公式

早期写的python障碍式期权的定价脚本，供大家参考，具体内容如下

#coding:utf-8

'''

障碍期权

q=x/s

H = h/x H 障碍价格

[1] Down-and-in call cdi

[2] Up-and-in call cui

[3] Down-and-in put pdi

[4] Up-and-in put pui

[5] Down-and-out call cdo

[6] Up-and-out call cuo

[7] Down-and-out put pdo

[8] Up-and-out put puo

'''

from math import log,sqrt,exp,ceil

from scipy import stats

import datetime

import tushare as ts

import pandas as pd

import numpy as np

import random

import time as timess

import os

def get_codes(path='D:\\code\\20180313.xlsx'): #从代码表格从获取代码

codes = pd.read_excel(path)

codes = codes.iloc[:,1]

return codes

def get_datas(code,N=1,path='D:\\data\\'): #获取数据N