def get_greeks(trades):
lots = []
op_objects = []
for trade in trades:
if trade['op_type'] == 'CE':
op_objects.append(
qbdp.EqOption(option_type='Call',
strike=trade['price'] / scale,
expiry_date=datetime.strftime(
expiry_dt, "%Y%m%d"),
expiry_type='European'))
lots.append(trade['num_lots'])
elif trade['op_type'] == 'PE':
op_objects.append(
qbdp.EqOption(option_type='Put',
strike=trade['price'] / scale,
expiry_date=datetime.strftime(
expiry_dt, "%Y%m%d"),
expiry_type='European'))
lots.append(trade['num_lots'])
else:
time.sleep(0.01)
#print ("Future")
custom_option = [(op_objects[i], lots[i]) for i in range(len(lots))]
custom_stgy1 = qbdp.OptionStr1Udl(option_portfolio=custom_option)
eq1_engine = custom_stgy1.engine(model='BSM',
pricing_date=datetime.strftime(
datetime.now(), "%Y%m%d"),
spot0=spot_price,
rf_rate=3.68,
volatility=0.25)
#print(eq1_engine.risk_parameters())
greeks = eq1_engine.risk_parameters()
return greeks['delta'], greeks['theta'], greeks['vega'], greeks['gamma']
def greeks(pos,
ticker,
target_value,
flag,
S,
K,
t0,
t1,
r,
div,
px='',
IV_only=False):
if flag == 'C':
call_put = 'Call'
else:
call_put = "Put"
d1 = datetime.strptime(t1, '%Y%m%d')
d0 = datetime.strptime(t0, '%Y%m%d')
delta = d1 - d0
delta_annual = delta.days / 365
sigma = BSM.implied_volatility(target_value, S, K, delta_annual, r, div,
flag.lower())
if IV_only == False:
risk_parameters = {
'delta_spot': 0.02,
'delta_vol': 0.02,
'delta_rf_rate': 0.02,
'delta_time': 1
} # TODO Fix with next quantsbin release
equity_o = qbdp.EqOption(option_type=call_put,
strike=K,
expiry_date=t1,
expiry_type='American')
engine = equity_o.engine(model="Binomial",
spot0=S,
pricing_date=t0,
rf_rate=r,
yield_div=div,
volatility=sigma)
greeks = engine.risk_parameters(**risk_parameters)
greeks['Contract'] = [ticker, t1, str(K), flag]
greeks['IV'] = sigma
if px == '':
greeks['Avg px'] = target_value
else:
greeks['Avg px'] = px
greeks['DTE'] = delta.days
greeks['pos'] = pos
# print(greeks)
return greeks
else:
return sigma
1. Equity: qbdp.EqOption
2. Futures: qbdp.FutOption
3. Currencies: qbdp.FXOption
4. Commodities: qbdp.ComOption
Let's check doc string to get more information about Option objects.
"""
print(qbdp.EqOption.__doc__)
"""We can observe above that therevare five argumnents which are required for deifning an option.
Let's deifne our own Equity call option with European expiry.
"""
equity_option1 = qbdp.EqOption(option_type='Call',
strike=57.5,
expiry_date='20200320',
expiry_type='European')
"""**Congrates!!!** you have defined you first option. Let's explore more into this option.
We will start with calculating payoff given Spot (current underlying price) is 55.
"""
print(equity_option1.payoff(58))
"""### Plotting Payoff
Let's plot the payoff profile for this option.
qbdp.Plotting takes first argument as option object, second argument as parameter to be plotted and this argument as range for which plot is required.
**Payoff Plotting**
"""
"""
developed by Quantsbin - Jun'18
"""
import quantsbin.derivativepricing as qbdp
import quantsbin.derivativepricing.plotting as pt
"""Defining options"""
eqOption1 = qbdp.EqOption(option_type='Call', strike=100, expiry_date='20180630', expiry_type='European')
eqOption2 = qbdp.EqOption(option_type='Call', strike=110, expiry_date='20180630', expiry_type='European')
fxOption1 = qbdp.FXOption(option_type='Call', strike=98, expiry_date='20190630', expiry_type='European')
fxOption2 = qbdp.FXOption(option_type='Put', strike=95, expiry_date='20180630', expiry_type='American')
futOption1 = qbdp.FutOption(option_type='Put', strike=102, expiry_date='20190630', expiry_type='American')
futOption2 = qbdp.FutOption(option_type='Call', strike=95, expiry_date='20180630', expiry_type='European')
comOption1 = qbdp.ComOption(option_type='Put', strike=95, expiry_date='20190630', expiry_type='European')
comOption2 = qbdp.ComOption(option_type='Call', strike=105, expiry_date='20190630', expiry_type='American')
"""Creating list of all defined option for consolidate testing"""
# option_list = [eqOption1, eqOption2, fxOption1, fxOption2, futOption1, futOption2, comOption1, comOption2]
#
# # print(eqOption2.payoff(0))
#
# """Payoff plot testing"""
# for option in option_list:
def setUp(self):
self.eq_option = qbdp.EqOption(**Input['equityInst'])
self.eq_option_engine = self.eq_option.engine(**Input['equityEng'])
