基于pricelib对中证500指数挂钩的雪球进行定价和Greeks计算,并绘制了波动率锥判断当前波动率点位。同时回测了挂钩中证1000指数的净值化雪球和挂钩个股的净值化雪球组合,并研究各项参数对净值化雪球的影响。
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净值化雪球的回测
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Nanqiang01/Autocallable_Backtest
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