Python for Finance: Analyze Big Financial Data

quantity= 3 ,

underlying=‘gbm’,

mar_env=me_am_put,

otype=‘American’,

payoff_func=payoff_func)

Information about such an object is provided by the get_info method:

In  [ 10 ]: am_put_pos.get_info()

Out[10]:    NAME

                                    am_put_pos

                                    QUANTITY

                                    3

                                    UNDERLYING

                                    gbm

                                    MARKET  ENVIRONMENT

                                    **Constants**

                                    strike  40.0

                                    maturity    2015-12-31  00:00:00

                                    currency    EUR

                                    **Lists**

                                    **Curves**

                                    OPTION  TYPE

                                    American

PAYOFF FUNCTION

                                    np.maximum(strike   -   instrument_values,  0)