def calcAmericanCall(sel):
for i in range(sel.n,0,-1):
print "time step {0}/{1}".format(i,sel.n)
if i==sel.n:
Cf = sel.setStockPrice(i)-sel.strike
Cf = np.maximum(Cf,np.zeros_like(Cf))
else:
Cf = sel.setStockPrice(i)-sel.strike
Cft = np.maximum(Cf,np.zeros_like(Cf))
Cf = np.maximum(Cft,pCf)
if (Cf-pCf<0.01).any():
print Cft
print np.array(pCf)
pCf = [onePeriodPrice(Cf[j],Cf[j+1],sel.q,(sel.R-1)) \
for j in range(0,i)]
return max(sel.strike-sel.price,pCf[0])
print "Q2: option price: {0:4}".format(q2.calcOptionPrice())
q6 = q
q6.setFromBS(0.25,0.02,15,0.01,0.3,100,110,'american','call')
q6.n = 10
print "Q6: option price: {0:4}".format(calcAmericanCall(q6))
q8a = Binomial()
q8a.setFromBS(0.25,0.02,15,0.01,0.3,100,100,'european','call')
q8b = Binomial()
q8b.setFromBS(0.25,0.02,15,0.01,0.3,100,100,'european','put')
Cfcall = q8a.setStockPrice(15)-q8a.strike
Cfcall = np.maximum(Cfcall,np.zeros_like(Cfcall))
Cfput = q8b.strike - q8b.setStockPrice(15)
Cfput = np.maximum(Cfput,np.zeros_like(Cfput))
for i in range(15,0,-1):
print "time step {0}/15".format(i)
if i > 10:
Cfcall = [onePeriodPrice(Cfcall[j],Cfcall[j+1],q8a.q,(q8a.R-1)) \
for j in range(0,i)]
Cfput = [onePeriodPrice(Cfput[j],Cfput[j+1],q8b.q,(q8b.R-1)) \
for j in range(0,i)]
if i == 10:
Cf = np.maximum(Cfcall,Cfput)
print Cf
if i <= 10:
Cf = [onePeriodPrice(Cf[j],Cf[j+1],q8a.q,(q8a.R-1)) \
for j in range(0,i)]
print Cf
