def testBlackScholes():
valuation_date = Date(8, 5, 2015)
expiry_date = Date(15, 1, 2016)
strike_price = 130.0
stock_price = 127.62
volatility = 0.20
interest_rate = 0.001
dividend_yield = 0.0163
option_type = OptionTypes.AMERICAN_CALL
euOptionType = OptionTypes.EUROPEAN_CALL
amOption = EquityAmericanOption(expiry_date, strike_price, option_type)
ameuOption = EquityAmericanOption(expiry_date, strike_price, euOptionType)
euOption = EquityVanillaOption(expiry_date, strike_price, euOptionType)
discount_curve = DiscountCurveFlat(valuation_date, interest_rate,
FrequencyTypes.CONTINUOUS,
DayCountTypes.ACT_365F)
dividend_curve = DiscountCurveFlat(valuation_date, dividend_yield,
FrequencyTypes.CONTINUOUS,
DayCountTypes.ACT_365F)
num_steps_per_year = 400
modelTree = BlackScholes(volatility, BlackScholesTypes.CRR_TREE,
num_steps_per_year)
v = amOption.value(valuation_date, stock_price, discount_curve,
dividend_curve, modelTree)
# print(v)
modelApprox = BlackScholes(volatility, BlackScholesTypes.BARONE_ADESI)
v = amOption.value(valuation_date, stock_price, discount_curve,
dividend_curve, modelApprox)
# print(v)
v = ameuOption.value(valuation_date, stock_price, discount_curve,
dividend_curve, modelTree)
# print(v)
v = euOption.value(valuation_date, stock_price, discount_curve,
dividend_curve, modelTree)
# print(v)
amTreeValue = []
amBAWValue = []
euTreeValue = []
euAnalValue = []
volatility = 0.20
def test_american_call():
call_option = EquityAmericanOption(expiry_date, strike_price,
OptionTypes.AMERICAN_CALL)
value = call_option.value(valuation_date, stock_price, discount_curve,
dividend_curve, model)
assert round(value, 4) == 8.0556
def test_american_put():
put_option = EquityAmericanOption(expiry_date, strike_price,
OptionTypes.AMERICAN_PUT)
value = put_option.value(valuation_date, stock_price, discount_curve,
dividend_curve, model)
assert round(value, 4) == 7.2583
def testEquityAmericanOption():
valuation_date = Date(1, 1, 2016)
expiry_date = Date(1, 1, 2017)
stock_price = 50.0
interest_rate = 0.06
dividend_yield = 0.04
volatility = 0.40
strike_price = 50.0
discount_curve = DiscountCurveFlat(valuation_date, interest_rate)
dividend_curve = DiscountCurveFlat(valuation_date, dividend_yield)
testCases.banner("================== EUROPEAN PUT =======================")
put_option = EquityAmericanOption(expiry_date, strike_price,
FinOptionTypes.EUROPEAN_PUT)
model = BlackScholes(volatility, BlackScholesTypes.CRR_TREE, 100)
value = put_option.value(valuation_date, stock_price, discount_curve,
dividend_curve, model)
delta = put_option.delta(valuation_date, stock_price, discount_curve,
dividend_curve, model)
gamma = put_option.gamma(valuation_date, stock_price, discount_curve,
dividend_curve, model)
theta = put_option.theta(valuation_date, stock_price, discount_curve,
dividend_curve, model)
testCases.header("OPTION_TYPE", "VALUE", "DELTA", "GAMMA", "THETA")
testCases.print("EUROPEAN_PUT_BS", value, delta, gamma, theta)
option = EquityAmericanOption(expiry_date, strike_price,
FinOptionTypes.EUROPEAN_PUT)
testCases.header("OPTION_TYPE", "NUMSTEPS", "VALUE DELTA GAMMA THETA",
"TIME")
num_steps_list = [100, 200, 500, 1000, 2000]
for num_steps in num_steps_list:
model = BlackScholes(volatility, BlackScholesTypes.CRR_TREE, num_steps)
start = time.time()
results = option.value(valuation_date, stock_price, discount_curve,
dividend_curve, model)
end = time.time()
duration = end - start
testCases.print("EUROPEAN_PUT_TREE", num_steps, results, duration)
testCases.banner("================== AMERICAN PUT =======================")
option = EquityAmericanOption(expiry_date, strike_price,
FinOptionTypes.AMERICAN_PUT)
testCases.header("OPTION_TYPE", "NUMSTEPS", "VALUE DELTA GAMMA THETA",
"TIME")
for num_steps in num_steps_list:
model = BlackScholes(volatility, BlackScholesTypes.CRR_TREE, num_steps)
start = time.time()
results = option.value(valuation_date, stock_price, discount_curve,
dividend_curve, model)
end = time.time()
duration = end - start
testCases.print("AMERICAN_PUT", num_steps, results, duration)
testCases.banner(
"================== EUROPEAN CALL =======================")
call_option = EquityAmericanOption(expiry_date, strike_price,
FinOptionTypes.EUROPEAN_CALL)
value = call_option.value(valuation_date, stock_price, discount_curve,
dividend_curve, model)
delta = call_option.delta(valuation_date, stock_price, discount_curve,
dividend_curve, model)
gamma = call_option.gamma(valuation_date, stock_price, discount_curve,
dividend_curve, model)
theta = call_option.theta(valuation_date, stock_price, discount_curve,
dividend_curve, model)
testCases.header("OPTION_TYPE", "VALUE", "DELTA", "GAMMA", "THETA")
testCases.print("EUROPEAN_CALL_BS", value, delta, gamma, theta)
option = EquityAmericanOption(expiry_date, strike_price,
FinOptionTypes.EUROPEAN_CALL)
testCases.header("OPTION_TYPE", "NUMSTEPS", "VALUE DELTA GAMMA THETA",
"TIME")
for num_steps in num_steps_list:
model = BlackScholes(volatility, BlackScholesTypes.CRR_TREE, num_steps)
start = time.time()
results = option.value(valuation_date, stock_price, discount_curve,
dividend_curve, model)
end = time.time()
duration = end - start
testCases.print("EUROPEAN_CALL_TREE", num_steps, results, duration)
testCases.banner(
"================== AMERICAN CALL =======================")
testCases.header("OPTION_TYPE", "NUMSTEPS", "VALUE DELTA GAMMA THETA",
"TIME")
option = EquityAmericanOption(expiry_date, strike_price,
FinOptionTypes.AMERICAN_CALL)
for num_steps in num_steps_list:
model = BlackScholes(volatility, BlackScholesTypes.CRR_TREE, num_steps)
start = time.time()
results = option.value(valuation_date, stock_price, discount_curve,
dividend_curve, model)
end = time.time()
duration = end - start
testCases.print("AMERICAN_CALL", num_steps, results, duration)