为什么当我写expX = s0 * np.exp(XY)时,出现以下错误?传递值的长度为1440,索引表示1。 我希望将值S0乘以第一个XY,并将结果变成下一个S0,以便可以将其乘以下一个XY,依此类推,以1440为准。
谢谢
T = 1 #len(index_future)
N = 1440 #number of time steps (min in
1 day)
dt = T / N #time steps
mu = returns_log.mean(axis= 0)/N #mean return
t = np.linspace(0, T, N)
#print(mu)
#sys.exit()
sigma = returns_log.std(axis= 0) #total vol
#print(sigma)
#S0 = close.tail(1) #last return observed
S0 = close['ETHJPY'].sample()
#print (S0)
#sys.exit()
dt = sigma/np.sqrt(N) #local volatility
print(dt)
W = np.cumsum(d[0])*np.sqrt(dt[0])
print(W)
np.savetxt("checkkk.csv", W, delimiter=",")
#sys.exit()
Y= (sigma[0]*W) #random shocks
X = (mu[0] - 0.5 * sigma[0]**2) * t #drift
XY = sum(X,Y).T#[np.newaxis] #drift + random shocks
#expX = np.exp(XY['ETHJPY'])
expX = s0 * np.exp(XY)