Skip to main content

Questions tagged [numpy]

The tag has no usage guidance.

Filter by
Sorted by
Tagged with
1 vote
2 answers

Reverse Optimization: finding the returns that satisfy specific weights given one known return

Here is the premise: I have a three asset portfolio, I know the assets covariance, the client's risk aversion and the expected return of one of the assets. I also have a desired set of weights. So, 1) ...
Farrep7's user avatar
  • 21
2 votes
1 answer

Why is my put intrinsic value greater than my actual put value in BSM? Python code

I have been creating a class for determining put/call values based on the Black Scholes Merton model and have run into a weird problem. For some reason my put values end up being less than the ...
finman69's user avatar
  • 121
2 votes
2 answers

Rolling Calculation of Slope in Python

I am trying to calculate Slope for the rolling window of 5 and 20 periods and append it to the existing data frame. The length of the total dataset would be let's say 30 days. I have two columns "...
Add's user avatar
  • 1,397