derpy 0.1.1

债券

fromderpyimportbondasbdpx=95.0428face_val=100.0mat=1.5cpn_frq=2cpn_rate=5.25ytm=5.5print('    Price: {}'.format(bd.bond_price(face_val,mat,ytm,cpn_rate,cpn_frq)))print('    Yield: {}'.format(bd.bond_ytm(px,face_val,mat,cpn_rate,cpn_frq)))print('   ModDur: {}'.format(bd.bond_duration(px,face_val,mat,cpn_rate,cpn_frq)[0]))print('   MacDur: {}'.format(bd.bond_duration(px,face_val,mat,cpn_rate,cpn_frq)[1]))print('Convexity: {}'.format(bd.bond_convexity(px,face_val,mat,cpn_rate,cpn_frq)))

选项

fromderpy.optionsimportblack_scholes_mertonasbsm# usage method 1: use function wrapperinput=['call',20,21,0.20,0.1,0.0002,0]call_price=bsm.option_pricing(bsm.euro_option,input)call_gamma=bsm.option_pricing(bsm.gamma,input)# usage method 2: call individual functionsput_price=bsm.euro_option('put',20,21,0.2,0.1,0.0002)# div_yield is optionalput_gamma=bsm.gamma('put',20,21,0.2,0.1,0.0002,0.0001)print(call_price)# return 0.16384395..print(call_gamma)# return 0.23993880..print(put_price)# return 1.16342..print(put_gamma)# return 0.2399107..

fromderpyimportportfolioasptsecurities=['AAA','BBB']positions=[[11,10],[12,10],[13,10],[13,11],[13,12]]prices=[[10,10],[11,10],[12,10],[12,10],[12,10]]dates=['2018-07-01','2018-08-01','2018-09-01','2018-10-01','2018-11-01']df_positions=pd.DataFrame(data=positions,columns=securities,index=dates)df_prices=pd.DataFrame(data=prices,columns=securities,index=dates)p=pt.Portfolio(names=securities,positions=df_positions,prices=df_prices)print(p.sec_values())print(p.sec_weights())print(p.portfolio_value())print(p.portfolio_returns())