Ejemplo n.º 1
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 def setUp(self):
     T = 9
     B = Annuity(T, [8], 4, 100, 0.5)
     P = Time(PutV(T, 105), [2, 4, 5, 6])
     C = Time(CallVR(T, 110), [3, 4, 6, 7])
     S = Time(CallA(T, 0), [1, 2, 3, 4, 9])
     self.payoff = Stack([B, P, C, S])
     Ssect = [
         np.linspace(0, 0.25, 10),
         np.linspace(0.25, -0.25, 10),
         np.linspace(-0.25, 0.75, 10),
         np.linspace(0.75, 1, 9, endpoint=False),
     ]
     Vsect = [
         np.linspace(0, -0.25, 10),
         np.linspace(-0.25, 0.25, 10),
         np.linspace(0.25, 0.50, 10),
         np.linspace(0.50, 1, 9, endpoint=False),
     ]
     Ssect = np.array(sum((list(i) for i in Ssect), []))
     Vsect = np.array(sum((list(i) for i in Vsect), []))
     critical = [10, 50, 100, 105, 110, 200]
     S = []
     V = []
     for i in range(len(critical) - 1):
         l, u = critical[i : i + 2]
         lu = u - l
         S.extend(Ssect * lu + l)
         V.extend(Vsect * lu + l)
     self.S = np.array(S)
     self.V = np.array(V)
Ejemplo n.º 2
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 def test_terminal(self):
     """Test value of terminal for American call with time restrictions."""
     S = np.linspace(S0 - 10, S0 + 10, 21)
     V = np.maximum(S - K, 0)
     payoff = Time(CallE(T, K), (T,))
     self.assertTrue((payoff.terminal(S) == V).all())
     payoff = Time(CallE(T, K), ())
     self.assertTrue((payoff.terminal(S) == np.zeros(S.shape)).all())
Ejemplo n.º 3
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 def test_transcient(self):
     """Test value of transient for American call with time restrictions."""
     S = np.linspace(S0 - 10, S0 + 10, 21)
     V = np.linspace(S0 + 10, S0 - 10, 21)
     times = list(np.linspace(0, 1, N // 4, endpoint=False)) + [(0.5, 1)]
     Vm = np.maximum(S - K, V)
     payoff = Time(CallA(T, K), times)
     for t in np.linspace(0, 1, N, endpoint=False):
         if float(t) in times or t > 0.5:
             self.assertTrue((payoff.transient(t, V, S) == Vm).all())
         else:
             self.assertTrue((payoff.transient(t, V, S) == V).all())
     self.assertRaises(AssertionError, payoff.transient, T, V, S)
Ejemplo n.º 4
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 def test_default(self):
     """Test default value of American call with time restrictions."""
     S = np.linspace(S0 - 10, S0 + 10, 21)
     times = list(np.linspace(0, 1, N // 4, endpoint=False)) + [(0.5, 1)]
     Vd = np.maximum(S - K, 0)
     Vo = np.zeros(S.shape)
     payoff = Time(CallA(T, K), times)
     for t in np.linspace(0, 1, N, endpoint=False):
         if float(t) in times or t > 0.5:
             self.assertTrue((payoff.default(t, S) == Vd).all())
         else:
             self.assertTrue((payoff.default(t, S) == Vo).all())
     self.assertRaises(AssertionError, payoff.default, T, S)
Ejemplo n.º 5
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 def test_transcient(self):
     """Test value of transient for American call with time restrictions."""
     S = np.linspace(S0 - 10, S0 + 10, 21)
     V = np.linspace(S0 + 10, S0 - 10, 21)
     times = list(np.linspace(0, 1, N // 4, endpoint=False)) + [(0.5, 1)]
     Vm = np.maximum(S - K, V)
     payoff = Time(CallA(T, K), times)
     for t in np.linspace(0, 1, N, endpoint=False):
         if float(t) in times or t > 0.5:
             self.assertTrue((payoff.transient(t, V, S) == Vm).all())
         else:
             self.assertTrue((payoff.transient(t, V, S) == V).all())
     self.assertRaises(AssertionError, payoff.transient, T, V, S)
Ejemplo n.º 6
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 def test_default(self):
     """Test default value of American call with time restrictions."""
     S = np.linspace(S0 - 10, S0 + 10, 21)
     times = list(np.linspace(0, 1, N // 4, endpoint=False)) + [(0.5, 1)]
     Vd = np.maximum(S - K, 0)
     Vo = np.zeros(S.shape)
     payoff = Time(CallA(T, K), times)
     for t in np.linspace(0, 1, N, endpoint=False):
         if float(t) in times or t > 0.5:
             self.assertTrue((payoff.default(t, S) == Vd).all())
         else:
             self.assertTrue((payoff.default(t, S) == Vo).all())
     self.assertRaises(AssertionError, payoff.default, T, S)
Ejemplo n.º 7
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 def setUp(self):
     T = 9
     B = Annuity(T, [8], 4, 100, 0.5)
     P = Time(PutV(T, 105), [2, 4, 5, 6])
     C = Time(CallVR(T, 110), [3, 4, 6, 7])
     S = Time(CallA(T, 0), [1, 2, 3, 4, 9])
     self.payoff = Stack([B, P, C, S])
     Ssect = [
         np.linspace(0, 0.25, 10),
         np.linspace(0.25, -.25, 10),
         np.linspace(-.25, 0.75, 10),
         np.linspace(0.75, 1, 9, endpoint=False)
     ]
     Vsect = [
         np.linspace(0, -.25, 10),
         np.linspace(-.25, 0.25, 10),
         np.linspace(0.25, 0.50, 10),
         np.linspace(0.50, 1, 9, endpoint=False)
     ]
     Ssect = np.array(sum((list(i) for i in Ssect), []))
     Vsect = np.array(sum((list(i) for i in Vsect), []))
     critical = [10, 50, 100, 105, 110, 200]
     S = []
     V = []
     for i in range(len(critical) - 1):
         l, u = critical[i:i + 2]
         lu = u - l
         S.extend(Ssect * lu + l)
         V.extend(Vsect * lu + l)
     self.S = np.array(S)
     self.V = np.array(V)
Ejemplo n.º 8
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 def test_terminal(self):
     """Test value of terminal for American call with time restrictions."""
     S = np.linspace(S0 - 10, S0 + 10, 21)
     V = np.maximum(S - K, 0)
     payoff = Time(CallE(T, K), (T, ))
     self.assertTrue((payoff.terminal(S) == V).all())
     payoff = Time(CallE(T, K), ())
     self.assertTrue((payoff.terminal(S) == np.zeros(S.shape)).all())
Ejemplo n.º 9
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dS_typical = WienerJumpProcess(r=0.05, sigma=0.2, lambd_=0.02, eta=0.3)
# Partial default (default = 0%)
dS_partial = WienerJumpProcess(r=0.05, sigma=0.2, lambd_=0.02, eta=0)
# No default
dS = WienerJumpProcess(r=0.05, sigma=0.2)

# Bond
#       Nominal value = 100
#       Semi-annual coupon = 4
#       Recovery factor = 0
A = Annuity(T, np.arange(0.5, T + 0.5, 0.5), C=4, N=100, R=0)

# American put option on portfolio
#       Strike = 105
#       Time = 3
P = Time(Put(T, 105, A), times=[3])

# Reversed American call option on portfolio
#       Strike = 110
#       Time = [2, 5]
C = Time(Call(T, 110, A), times=[(2, 5)])

# Stock option (conversion option into stock for portfolio)
S = Time(CallA(T, 0), times=[(0, 5)])

# Bond component of convertible bond
B = Stack([A, P, C])

# Equity component of convertible bond
E = S
Ejemplo n.º 10
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# Variable hazard (a=-1.2), total default
dS_var = WienerJumpProcess(r=0.05,
                           sigma=0.25,
                           lambd_=lambda S: 0.062 * (S / 50)**-0.5,
                           eta=1)

# Bond
#       Nominal value = 100
#       Semi-annual coupon = 4
#       Recovery factor = 40%
A = Annuity(T, np.arange(0.5, T + 0.5, 0.5), C=4, N=100, R=0.4)

# American put option on portfolio
#       Strike = 105
#       Time = 3
P = Time(Put(T, 105, A), times=[3])

# Reversed American call option on portfolio
#       Strike = 110
#       Time = [2, 5]
C = Time(Call(T, 110, A), times=[(2, 5)])

# Stock option (conversion option into stock for portfolio)
S = CallA(T, 0)

# Bond component of convertible bond
B = Stack([A, P, C])

# Equity component of convertible bond
E = S