romanmichaelpaolucci / q-fin Goto Github PK

I'm enjoying your Medium article and have implemented the code but its giving errors.

Are these suppsed to be part of one huge class or is there a function not included? I've expanded upon your code in my repo here for reference since I didnt see it in yours. Thanks for writing these articles they are good reference material.

box/PycharmProjects/Financial_Backtrader/backtesting_b.py", line 3, in <module>
    from models.isolation_model import IsolationModel
ModuleNotFoundError: No module named 'models'

datatalking/Financial_Backtrader#1

I get the following error:

TypeError Traceback (most recent call last)
Cell In [19], line 1
----> 1 sample_paths = geometric_Brownian_motion (S_0, mu, sigma, T, dt, n)

Cell In [17], line 13, in geometric_Brownian_motion(S_0, mu, sigma, T, dt, n)
10 prices.append( prices[-1]np.exp((mu - .5(sigma2))dt + sigmanp.random.normal(0, np.sqrt(dt))))
11 time += dt
---> 13 if T (time) > 0:
14 prices.append(prices[-1]np.exp((mu - .5(sigma2))(T-time) + sigmanp.random.normal(0, np.sqrt(T-time))))
16 paths.append(prices)

TypeError: 'int' object is not callable

under the following code:
sample_paths = geometric_Brownian_motion (S_0, mu, sigma, T, dt, n)

The library produces negative prices for put options having small delta. Calls don't have this behaviour (price tends to zero, as expected).

i.e compare:

BlackScholesCall(4600, 0.19, 4400, float(5)/365, 0.01).price # 201.4
BlackScholesPut(4600, 0.19, 4400, float(5)/365, 0.01).price # -190.6

or see (where price and delta columns are derived from q-fin BlackScholesPut)

I'm wondering what I should make of this -- whether there's an error with the library, or a quirk of BS model (in which case I can take a floor of zero of put price value).