Practice Risk
Value a mixed derivatives portfolio with your library
Hard+50 pointsAbout 80 minutesRisk
Coming soon
Value a portfolio of vanilla and path-dependent options with one simulation, and report its Greeks.
This problem opens with Financial Computing with Python. It draws on the modules below.
- Computing 3.3 Valuation classes (coming soon)
- Computing 3.4 Portfolio valuation and risk (coming soon)