Anyone here good at #Python SymPy? I have no clue why I cant just solve this inequality. #DataSciencepic.twitter.com/ykIkep2Aot
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Yeah, and also including the premiums, but I dont know how to solve that symbolically in python, wasnt sure if sympy could handle max(0, x-101), probably requires some super intense formatting
I don’t know if sympy can handle that either, not used it. But you can’t just leave out the maxes. Could maybe do a case analysis, since between the strikes the payoff is just a linear function.
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very true. I used the max() argument in my PnL graphing function. Im gonna do more digging and see how sympy handles it. So far I must say am not enjoying using it, tho it could be super awesome in theory
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Having been through this hell in grad school, I would advice you to re run black scholes for different values of S & t and use the fact that PnL is additive. This way, you retain the flexibility of changing your vol slide assumptions at a later date
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MATLAB is your friend here (package that does this & gives you modifiable source code) If you are going to do this in Python, model after examples in Wilmotts book; it’s just {1:1 | func -> df} brute forcing but easy to see what’s going on. DM if you need book
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Ah you may be right. But Im trying to avoid rabbit holes for now, has been nice avoiding matlab for the time being lol. Normally love python. But why is this so hard?pic.twitter.com/VB8oVKK2MJ
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