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Python for Finance

You're reading from  Python for Finance

Product type Book
Published in Apr 2014
Publisher
ISBN-13 9781783284375
Pages 408 pages
Edition 1st Edition
Languages
Author (1):
Yuxing Yan Yuxing Yan
Profile icon Yuxing Yan

Table of Contents (20) Chapters

Python for Finance
Credits
About the Author
Acknowledgments
About the Reviewers
www.PacktPub.com
Preface
Introduction and Installation of Python Using Python as an Ordinary Calculator Using Python as a Financial Calculator 13 Lines of Python to Price a Call Option Introduction to Modules Introduction to NumPy and SciPy Visual Finance via Matplotlib Statistical Analysis of Time Series The Black-Scholes-Merton Option Model Python Loops and Implied Volatility Monte Carlo Simulation and Options Volatility Measures and GARCH Index

Interpolation in SciPy


In the following code example, x can be viewed as the x axis with a set of values from 0 to 10, while the vertical axis is y, where y = exp(-x/3). We intend to interpolate between different y(i) values by applying two methods: linear and cubic. The following lines of code are an example from SciPy Reference Guide:

>>>import numpy as np
>>>import matplotlib.pyplot as plt
>>>from scipy.interpolate import interp1d
>>>x = np.linspace(0, 10, 10)
>>>y = np.exp(-x/3.0)
>>>f = interp1d(x, y)
>>>f2 = interp1d(x, y, kind='cubic')
>>>xnew = np.linspace(0, 10, 40)
>>>plt.plot(x,y,'o',xnew,f(xnew),'-', xnew, f2(xnew),'--')
>>>plt.legend(['data', 'linear', 'cubic'], loc='best')
>>>plt.show()

In the preceding program, we use the np.linspace() function to generate evenly spaced numbers—40 values—over a specified interval, from 0 to 10 in this case. The related output is shown as follows...

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