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Draw a Binomial Pricing Trees in Python

I'm going to build a single-page binary tree dashboard in Python and flask/django on calculated stock option's price, where it is similiar with the following project in R but I have two more requests, one is to run as a API using Flask/Django and secondly to use the the existing calculation model in python pacakge "qfrm" .

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Preferably to embed the python package of "qprm" in the project, instead of my original scripting as below. But for the first step you can use this simpler code in Python 2.7 to protype your ideas.

from math import exp

# option input parameters

dt = input("Timesteps: ")

S = input("Initial spot price: ")

r = input("Risk-free discount rate: ")

K = input("Strike price: ")

p = input("Growth probability: ")

u = input("Growth factor: ")

N = input("Timesteps to expiration: ")

# Choose a Call or a Put

call = raw_input("Call or put? (C/P) ").upper().startswith("C")

def binary(k, us):

Stockprice = S * (u ** (2 * us - k))

if call:

profit = max(0, Stockprice - K)


profit = max(0, K - Stockprice)

# If a leaf node

if k == N:

return profit

# Binomial value recursively

decay = exp(-r * dt)

expected = p * binary(k + 1, us + 1) + (1 - p) * binary(k + 1, us)

binomial = decay * expected

# If an American option

return max(binomial, profit)

print 'Got your option price: $%.3f' % binary(0, 0)

Habilidades: Django, Análise Financeira, Flask, Matemática, Python

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Acerca do Empregador:
( 9 comentários ) Koto, Japan

ID do Projeto: #17482244

12 freelancers estão ofertando em média $182 para esse trabalho


Hello Sir, I am professional python programmer, I mainly deal in web apps in flask/django. I checked your Binomial Pricing Tree algorithm in R. and its convertable in python using Pandas library. this library is a p Mais

$183 USD in 3 dias
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$100 USD in 3 dias
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$300 USD in 3 dias
(16 Comentários)

hello! I am familiar with binomial math and this kind of project seems pretty cool, I suppose you want your inputs to be in GUI forms and Flask will deliver a frontend with single-page binary dashboard. We can discus Mais

$220 USD in 5 dias
(103 Comentários)

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