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I am trying to build a tree model and to tracking the moving average (say 10 day) of each branch. Is there an easy way to do it? I just built a tree and really have no clue how to proceed from here. Thanks for the help in advance

import numpy as np

t = 3 
r = 0.035 
sigma = 0.35 
s0 = 86.95 
K = 32.59 

n = 252*t 
dt = t/n 
window = 10

u = np.exp(sigma * np.sqrt(dt))
d = 1 / u 
p = (np.exp(r * dt) - d) / (u - d)

stock = np.zeros([n + 1, n + 1])

for i in range(n + 1):
    for j in range(i + 1):
        stock[j, i] = s0 * (u ** (i - j)) * (d ** j)
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  • 4
    I’m voting to close this question because it is about software development. Sep 16 at 12:39

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