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1/2

This homework is an open-ended question.

1. Code standards (5%)

Does each variable have an appropriate name? Is the code runnable? Can we output the same

as in the report?

- Python 3.6 or 3.5

- Jupyter

2. Data (10%)

What is the source of the data (Yahoo finance is acceptable)? How did you use the data?

Please explain all the details of usage in the report. The data points can be from 100 to 1,000 if

necessary, more than 1,000 is acceptable.

3. Assumption, Math reasoning, Calibration (60%)

Which model did you use to simulate the price? What are the underlying assumptions behind

your model? Why do you think the assumption makes sense? Which value did you use for each

parameter? If you used the historical data to calibrate a parameter, what is your process for

calibration? Did you have a qualitative analysis on pricing results?

If you made an assumption without explaining the reasons behind it - or had an assumption

behind the model but didn't realize it, or made bad reasoning will be subject to penalty of points.

4. Report writing (25%)

Is the report well-written?

Nice math formula, spacing, indentation (5%)

Quality of output figures (5%)

Is the report detailed and carefully written? If the report reads really hasty? (15%)

Please use the following equation typing function below (NOT other one such as Math equation

6.0), otherwise I cannot edit the equations with MS-WORD.

2/2

Appendix

This homework is an open-ended question.

1. Code standards (5%)

Does each variable have an appropriate name? Is the code runnable? Can we output the same

as in the report?

- Python 3.6 or 3.5

- Jupyter

2. Data (10%)

What is the source of the data (Yahoo finance is acceptable)? How did you use the data?

Please explain all the details of usage in the report. The data points can be from 100 to 1,000 if

necessary, more than 1,000 is acceptable.

3. Assumption, Math reasoning, Calibration (60%)

Which model did you use to simulate the price? What are the underlying assumptions behind

your model? Why do you think the assumption makes sense? Which value did you use for each

parameter? If you used the historical data to calibrate a parameter, what is your process for

calibration? Did you have a qualitative analysis on pricing results?

If you made an assumption without explaining the reasons behind it - or had an assumption

behind the model but didn't realize it, or made bad reasoning will be subject to penalty of points.

4. Report writing (25%)

Is the report well-written?

Nice math formula, spacing, indentation (5%)

Quality of output figures (5%)

Is the report detailed and carefully written? If the report reads really hasty? (15%)

Please use the following equation typing function below (NOT other one such as Math equation

6.0), otherwise I cannot edit the equations with MS-WORD.

2/2

Appendix

Answered 4 days AfterMay 13, 2021

stock.csv

,DGS1MO,DGS3MO,DGS6MO,DGS1,DGS2,DGS3,DGS5,DGS7,DGS10,DGS20,DGS30

1962-01-02,,,,3.22,,3.7,3.88,,4.06,4.07,

1962-01-03,,,,3.24,,3.7,3.87,,4.03,4.07,

1962-01-04,,,,3.24,,3.69,3....

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