# Evaluation Settings
begDate = ql.Date(14, 7, 2017)
maturityDate = ql.Date(27, 12, 2017)
calendar = ql.China()
daycounter = ql.ActualActual()
spot = 2.45
S0 = 2.45 * 100
strike = S0
calibrated_params = daily_params.get(to_dt_date(begDate)) # on calibrate_date
cal_vols_c, put_vols_c, maturity_dates_c, spot_c, rf_c = daily_svi_dataset.get(
to_dt_date(begDate))
black_var_surface = hedge_util.get_local_volatility_surface(
calibrated_params, to_ql_dates(maturity_dates_c), begDate, daycounter,
calendar, spot_c, rf_c)
rf = rf_c.get(3)
# SVI model params
params = calibrated_params[3]
# Monte Carlo Simulation
N = 500
delta_t = 1.0 / 365
dates = []
evalDate = begDate
while evalDate <= maturityDate:
dates.append(
datetime.date(evalDate.year(), evalDate.month(),
evalDate.dayOfMonth()))
daycounter = ql.ActualActual()
#simulation_no = 1000
#noise = np.random.normal(0,1,(simulation_no,len(dates)))
#delta_t = 1.0/365
i = 3
# Down and out Call
optiontype = ql.Option.Call
barrierType = ql.Barrier.DownIn
curve = svi_data.get_curve_treasury_bond(today, daycounter)
calibrated_params = daily_params.get(to_dt_date(today)) # on calibrate_date
cal_vols, put_vols, maturity_dates, spot, risk_free_rates = daily_svi_dataset.get(
to_dt_date(today))
black_var_surface = hedge_util.get_local_volatility_surface(
calibrated_params, to_ql_dates(maturity_dates), today, daycounter,
calendar, spot, risk_free_rates)
maturityDate = to_ql_date(maturity_dates[i])
rf = risk_free_rates.get(i)
params = calibrated_params[i]
#maturityDate = calendar.advance(today,ql.Period(6,ql.Months))
print(maturityDate)
print(rf)
#rf = 0.0
#spot = 100
barrier = spot - 0.05
strike = spot
ttm = daycounter.yearFraction(today, maturityDate)
strike = ((barrier * np.exp(rf * ttm))**2) / strike