二、希腊值计算及绘制
为后续系统灵活应用和模型研究,用第三方工具(QuantLib/Mibian)自行编码计算实时计算期权合约的希腊值
希腊值计算过程在0.001s内,保证在线实时显示、存储。
希腊值包括:
iv
delta
gamma
theta
vega
rpho
#coding=utf-8
'''
MibianLib - Options Pricing Open Source Library - http://code.mibian.net/
Copyright (C) 2011 Yassine Maaroufi - <yassinemaaroufi@mibian.net>
Distributed under GPLv3 - http://www.gnu.org/copyleft/gpl.html
'''
#from numba import jit,autojit
#from scipy.optimize import minimize.basinhopping,root,fsolve,rosen,
from scipy import optimize
#from scipy.optimize import fsolve