Skip to content

Instantly share code, notes, and snippets.

View NAMYUNWOO's full-sized avatar
🎴
🔨

NAM YUNWOO NAMYUNWOO

🎴
🔨
View GitHub Profile
# coding: utf-8
# In[60]:
import pandas as pd
import statsmodels.api as sm
from statsmodels.stats.outliers_influence import variance_inflation_factor
import numpy as np
@NAMYUNWOO
NAMYUNWOO / ELS_pricising_ECT51801
Last active June 12, 2017 12:18
ELS_pricising
#-*- coding: utf-8 -*-
# python3
from __future__ import division
import sys
import numpy as np
import xlwings as xw
from datetime import datetime
import math
@NAMYUNWOO
NAMYUNWOO / Sheet1_Main
Created May 10, 2017 11:15
Sheet1_Main
Sub Refresh()
Application.Calculation = xlManual
Dim Today As Date
Dim i As Long
Today = Sheets("Market Info.").Cells(3, 1)
If Cells(5, 3) = Today Then
If IsError(Sheets("Market Info.").Cells(6, 3)) Then
@NAMYUNWOO
NAMYUNWOO / Sheet2_Vanilla
Created May 10, 2017 11:14
Sheet2_Vanilla
Sub Prepare()
Application.Calculation = xlManual
Dim AsofDate As Date
Dim i As Long
AsofDate = Cells(5, 3)
Refresh
@NAMYUNWOO
NAMYUNWOO / Sheet3_DIGITAL
Created May 10, 2017 11:13
Sheet3_DIGITAL
Sub Prepare()
Application.Calculation = xlManual
Dim AsofDate As Date
Dim i As Long
AsofDate = Cells(5, 3)
Refresh
@NAMYUNWOO
NAMYUNWOO / Sheet4_Barrier
Created May 10, 2017 11:12
Sheet4_Barrier
Sub Prepare()
Application.Calculation = xlManual
Dim AsofDate As Date
Dim i As Long
AsofDate = Cells(5, 3)
Refresh
@NAMYUNWOO
NAMYUNWOO / Sheet7_KOSPI200F
Created May 10, 2017 11:11
Sheet7_KOSPI200F
Sub Prepare()
Application.Calculation = xlManual
Dim AsofDate As Date
Dim i As Long
AsofDate = Cells(5, 3)
Refresh
@NAMYUNWOO
NAMYUNWOO / Module_Barrier
Created May 10, 2017 11:10
Module_Barrier
Option Explicit
Public Function BarrierValue(CallPutFlag As String, DownUpFlag As String, InOutFlag As String, S As Double, X As Double, H As Double, K As Double, _
T As Double, r As Double, q As Double, v As Double, Hit As String) As Double
Dim mu As Double
Dim lambda As Double
Dim X1 As Double, X2 As Double
Dim y1 As Double, y2 As Double
Dim z As Double
@NAMYUNWOO
NAMYUNWOO / Module_Digital
Created May 10, 2017 11:10
Module_Digital
Option Explicit
Public Function DigitalValue(CallPutFlag As String, S As Double, X As Double, K As Double, T As Double, _
r As Double, q As Double, v As Double) As Double
Dim d As Double
If T <= 0 Then
If CallPutFlag = "C" Then
If (S >= X) Then
DigitalValue = K
@NAMYUNWOO
NAMYUNWOO / Module_General
Created May 10, 2017 11:09
Module_General
Option Explicit
Public Function CND(z As Double) As Double
CND = Application.NormSDist(z)
End Function