def UpAndOutCallPrototype(Spot):
#look at times
look_at_times = list(np.linspace(start=0, stop=Expiry, num=12))
#generate a path
market_params = {'spot':Spot, 'rate':rate, 'vol':Vol}
path_generator = GeneratorGBM(market_params)
path_generator.generator.set_seed(seed=0)
path_generator.sim_setup(look_at_times)
sum = 0.
Knockout = 108.
for i in range(0,num_paths):
path = path_generator.do_one_path()
# plt.plot(look_at_times,path)
# plt.show()
#Evaluate the payoff for path
#Check if knocks out above barrier
if any(map(lambda(x): x >= Knockout,path)):
this_payoff = 0
else:
#Calc payoff
po = VanillaCall(Strike=Strike)
this_payoff = po.po(path[-1]) #Get last element of path
sum += this_payoff
def AsianPrototype(Spot):
#look at times
look_at_times = list(np.linspace(start=0, stop=Expiry, num=12))
#generate a path
market_params = {'spot':Spot, 'rate':rate, 'vol':Vol}
path_generator = GeneratorGBM(market_params)
path_generator.sim_setup(look_at_times)
sum = 0.
for i in range(0,num_paths):
path = path_generator.do_one_path()
#plt.plot(look_at_times,path)
#plt.show()
#Evaluate the payoff for path
#Average of price - K
average_price = np.mean(path)
#Calc payoff
po = VanillaCall(Strike=Strike)
this_payoff = po.po(average_price)
sum += this_payoff
#Average and discount
price = math.exp(-rate*Expiry)*sum/num_paths
return price
def test_PutCallPayOffs(self):
vc_higher = VanillaCall(self.StrikeHigher)
vc_lower= VanillaCall(self.StrikeLower)
vp_higher = VanillaPut(self.StrikeHigher)
vp_lower= VanillaPut(self.StrikeLower)
vo_callhigher = VanillaOption(Expiry=1, PayOff=vc_higher)
vo_calllower= VanillaOption(Expiry=1, PayOff=vc_lower)
vo_puthigher = VanillaOption(Expiry=1, PayOff=vp_higher)
vo_putlower= VanillaOption(Expiry=1, PayOff=vp_lower)
self.assertAlmostEqual(vo_callhigher.pay_off(self.Spot),0.)
self.assertAlmostEqual(vo_calllower.pay_off(self.Spot),10.)
self.assertAlmostEqual(vo_puthigher.pay_off(self.Spot),10.)
self.assertAlmostEqual(vo_putlower.pay_off(self.Spot),0.)
if __name__ == '__main__':
from PayOffs import VanillaCall, VanillaPut
from VanillaOptions import VanillaOption
from Gatherer import MeanGatherer, ConvergenceTable
from PathGenerators import GeneratorGBM, Antithetic, NormalGenerator
from AnalyticFunctions import BSAnalyticFormulas
#Option params
Strike = 110.
Expiry = 1.
vc1 = VanillaCall(Strike)
vp1 = VanillaPut(Strike)
vo_call = VanillaOption(Expiry, PayOff=vc1)
vo_put = VanillaOption(Expiry, PayOff=vp1)
#Model/Market parameters
Spot = 100.
rate = 0.05
Vol = 0.2
dividend = 0.0 #not included in pricing yet
#Model parameters
times = [1.]
num_paths = 50000
market_params = {'spot': Spot, 'rate': rate, 'vol': Vol}
