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Convertible_Bond.py

计算可转债的纯债价值,期权价值。

函数结构 注释
Convertible_Bond 主程序
Container 容器
Adapter 适配器
Function 函数


5.27日完成的任务
p1 和 p2 都是计算可转债的期权价值和PV的。实现的效果是一样的
book.bond(bond_name).attr(C1).value 是期权价值
book.bond(bond_name).attr(C2).value 是PV
链接表格
可转债套利空间的示例
打开图片有问题? 点击获取我分享的免费VPN,适用于windows、macos和linux
Python交互图链接地址

TODO

事情列表
5月29日 事情列表
把rf改掉
改第一个图当中跳跃的点 用Excel画图
把第一张图当中的上面的图拉下来
可转债价格y和股价x的图
我们设置90%转股价格点为 分界点
分界点前pv+期权 分界点后是股价+期权
行权价K我们选取不变的,后期再在时间序列上操作
5月30日 事情列表
价外期权 价内期权 都试一下
多选几个ETF的期权试一下
要用510050.SH的作为标的资产
50ETF购四月2.65 四月份到期,行权价2.65
6月1日事情列表
加入yield 读取数据

比较一下 有时分秒后缀的datetime和没有的是不是同一个。

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