eur_call.update(initial_value=s)

p_list.append(eur_call.present_value(fixed_seed=True))

d_list.append(eur_call.delta())

v_list.append(eur_call.vega())

Out[15]:    CPU times:  user    239 ms, sys:    8.18    ms, total:  248 ms

                                    Wall    time:   248 ms

Equipped with all these values, we can graphically inspect the results. To this end, we use

a helper function as shown in Example 17-3.

Example 17-3. Helper function to plot options statistics

DX Library Valuation

plot_option_stats.py

import matplotlib.pyplot as plt

def plot_option_stats(s_list, p_list, d_list, v_list):
”’ Plots option prices, Deltas, and Vegas for a set of
different initial values of the underlying.

            Parameters

            ==========

            s_list  :   array   or  list

                            set of  initial values  of  the underlying

            p_list  :   array   or  list

                            present values

            d_list  :   array   or  list

                            results for Deltas

            v_list  :   array   or  list

                            results for Vegas

            ”’

plt.figure(figsize=( 9 , 7 ))
sub1 = plt.subplot( 311 )
plt.plot(s_list, p_list, ‘ro’, label=‘present value’)
plt.plot(s_list, p_list, ‘b’)
plt.grid(True); plt.legend(loc= 0 )
plt.setp(sub1.get_xticklabels(), visible=False)
sub2 = plt.subplot( 312 )
plt.plot(s_list, d_list, ‘go’, label=‘Delta’)
plt.plot(s_list, d_list, ‘b’)
plt.grid(True); plt.legend(loc= 0 )
plt.ylim(min(d_list) - 0.1, max(d_list) + 0.1)
plt.setp(sub2.get_xticklabels(), visible=False)
sub3 = plt.subplot( 313 )
plt.plot(s_list, v_list, ‘yo’, label=‘Vega’)
plt.plot(s_list, v_list, ‘b’)
plt.xlabel(‘initial value of underlying’)
plt.grid(True); plt.legend(loc= 0 )

Importing this function and providing the valuation results to it generates a picture like

that shown in Figure 17-1:

In  [ 16 ]: from plot_option_stats import plot_option_stats

                                    %matplotlib inline

In  [ 17 ]: plot_option_stats(s_list,   p_list, d_list, v_list)