The latest version of pysam for anaconda is 0.6 (which you would install with
conda install pysam as that links everything up properly), but 0.6 doesn't use the new module names (also, why are we changing module names in the first place guys!? Aliases are cheap.)
To get the latest version of pysam, you'll need to do as duxan says, which is to install pysam via pip - but not the system pip as rtliu's example shows, but the pip that is used by anaconda. This can be done either as duxan suggests, or, a slightly easier way is to just find and use the pip that anaconda uses (/some_location/anaconda/bin/pip install pysam --upgrade) without the need to source the virtual environment.
However, this is not the "Anaconda way". What you are doing now is making an up-to-date python environment, which is sort of the opposite of what Anaconda is supposed to be. It is supposed to be a regulated, reliable and stable environment, where everything works together hassle-free. If something isn't hassle-free, you are supposed to either whine about it to the Anaconda devs, or stop doing what you are doing.
In short, if you are going to install your own packages manually like this, you are much much much better off ditching anaconda entirely and learning how to make, configure, and delete virtual environments for python. http://docs.python-guide.org/en/latest/dev/virtualenvs/