def get_call_IVs(call_options, call_prices):
return list(
map(
lambda option, option_price: get_implied_volatility(
option, option_price), call_options, call_prices))
tuples = pd.concat([call_options, call_prices],
axis=1).loc[:, [0, 1]].apply(tuple, axis=1)
IV_Map = lambda tup: get_implied_volatility(tup[0], tup[1])
call_IVs = tuples.apply(IV_Map)
#df = pd.concat([call_options, call_prices, call_IVs], axis=1).round(3)
return call_IVs
def get_option_prices_from_mc_distribution(mc_distribution, strikes=None):
if strikes is None:
strikes = np.arange(.5, 1.55, .05)
option_prices = []
implied_vols = []
for strike in strikes:
if strike >= 1.0:
option_type = 'Call'
else:
option_type = 'Put'
option = Option(option_type, strike, expiry)
option_price = OptionPriceMC(option, mc_distribution)
option_prices.append(option_price)
implied_vol = get_implied_volatility(option, 1.0, option_price)
implied_vols.append(implied_vol)
prices_info = {
'Strikes': strikes,
'Prices': option_prices,
'IVs': implied_vols
}
prices_df = pd.DataFrame(prices_info).round(3)
prices_df.set_index('Strikes', inplace=True)
return prices_df
def get_vol_surface_from_mc_distribution(mc_distribution,
expiry=None,
strikes=None):
if strikes is None:
strikes = np.arange(.5, 1.5, .01)
#strikes = np.arange(.5, 1.5, .005)
call_options = [Option('Call', strike, expiry) for strike in strikes]
call_prices = list(
map(lambda option: OptionPriceMC(option, mc_distribution),
call_options))
call_IVs = list(
map(
lambda option, option_price: get_implied_volatility(
option, option_price), call_options, call_prices))
option_sheet_info = list(call_IVs)
index_r = pd.Index(strikes, name='Strike')
iterables_c = [[expiry], ['IV']]
index_c = pd.MultiIndex.from_product(iterables_c,
names=['Expiry', 'Option_Info'])
option_sheet = pd.DataFrame(option_sheet_info,
index=index_r,
columns=index_c)
return option_sheet
def get_option_sheet_from_mc_distribution(mc_distribution,
expiry=None,
strikes=None):
if strikes is None:
strikes = np.arange(.5, 2, .005)
call_options = [Option('Call', strike, expiry) for strike in strikes]
call_prices = list(
map(lambda option: OptionPriceMC(option, mc_distribution),
call_options))
call_IVs = list(
map(
lambda option, option_price: get_implied_volatility(
option, option_price), call_options, call_prices))
put_options = [Option('Put', strike, expiry) for strike in strikes]
put_prices = list(
map(lambda option: OptionPriceMC(option, mc_distribution),
put_options))
put_IVs = list(
map(
lambda option, option_price: get_implied_volatility(
option, option_price), put_options, put_prices))
option_premiums = [
min(call_price, put_price)
for call_price, put_price in zip(call_prices, put_prices)
]
"""
option_sheet_info = {'Strike': strikes, 'Price': option_premiums, 'IV': call_IVs}
option_sheet = pd.DataFrame(option_sheet_info).set_index('Strike').loc[:, ['Price', 'IV']].round(2)
"""
option_sheet_info = list(zip(option_premiums, call_IVs))
index_r = pd.Index(strikes, name='Strike')
iterables_c = [[expiry], ['Premium', 'IV']]
index_c = pd.MultiIndex.from_product(iterables_c,
names=['Expiry', 'Option_Info'])
option_sheet = pd.DataFrame(option_sheet_info,
index=index_r,
columns=index_c)
return option_sheet
def get_option_sheet_from_mc_distribution(mc_distribution,
expiry=None,
strikes=None):
if strikes is None:
strikes = np.arange(.75, 1.25, .05)
call_options = [Option('Call', strike, expiry) for strike in strikes]
call_prices = list(
map(lambda option: OptionPriceMC(option, mc_distribution),
call_options))
call_IVs = list(
map(
lambda option, option_price: get_implied_volatility(
option, option_price), call_options, call_prices))
put_options = [Option('Put', strike, expiry) for strike in strikes]
put_prices = list(
map(lambda option: OptionPriceMC(option, mc_distribution),
put_options))
put_IVs = list(
map(
lambda option, option_price: get_implied_volatility(
option, option_price), put_options, put_prices))
option_premiums = [
min(call_price, put_price)
for call_price, put_price in zip(call_prices, put_prices)
]
option_sheet_info = {
'Strike': strikes,
'Price': option_premiums,
'IV': call_IVs
}
option_sheet = pd.DataFrame(option_sheet_info).set_index(
'Strike').loc[:, ['Price', 'IV']].round(2)
#iterables = [['Price', 'IV'], ['Group 1']]
#index = pd.MultiIndex.from_product(iterables, names=['Option Info', 'Event Grouping'])
#option_sheet.rename(columns=index)
#print(index)
return option_sheet
def get_call_IVs(call_options, call_prices):
"""For a list of call options and call prices, calculate implied volatility for each option"""
return [
get_implied_volatility(call_option, call_price)
for call_option, call_price in zip(call_options, call_prices)
]