def get_delta_greeks(self, otype, round_digit=4):
if otype == OptionType.CALL:
delta = exp((self.cost_of_carry - self.rate) * self.expiry) * cdf(self.get_d1_d2()[0])
elif otype == OptionType.PUT:
delta = exp((self.cost_of_carry - self.rate) * self.expiry) * (cdf(self.get_d1_d2()[0]) - 1)
else:
raise OptionTypeError
return round(delta, round_digit)
def get_option_price(self, otype, round_digit=4):
# This is the generalized Black_Scholes formula
d1, d2 = self.get_d1_d2()
if otype == OptionType.CALL:
price = self.spot * exp(
(self.cost_of_carry - self.rate) * self.expiry) * cdf(
d1) - self.strike * exp(-self.rate * self.expiry) * cdf(d2)
#price = self.spot * exp((self.cost_of_carry - self.rate) * self.expiry) * norm.cdf(d1) - self.strike * exp(- self.rate * self.expiry) * norm.cdf(d2)
elif otype == OptionType.PUT:
price = self.strike * exp(
-self.rate * self.expiry) * cdf(-d2) - self.spot * exp(
(self.cost_of_carry - self.rate) * self.expiry) * cdf(-d1)
#price = self.strike * exp(- self.rate * self.expiry) * norm.cdf(-d2) - self.spot * exp((self.cost_of_carry - self.rate) * self.expiry) * norm.cdf(-d1)
else:
raise OptionTypeError
return round(price, round_digit)
def get_option_price(self, otype, round_digit=4):
# This is the generalized Black_Scholes formula
d1, d2 = self.get_d1_d2()
if otype == OptionType.CALL:
price = self.spot * exp((self.cost_of_carry - self.rate) * self.expiry) * cdf(d1) - self.strike * exp(- self.rate * self.expiry) * cdf(d2)
#price = self.spot * exp((self.cost_of_carry - self.rate) * self.expiry) * norm.cdf(d1) - self.strike * exp(- self.rate * self.expiry) * norm.cdf(d2)
elif otype == OptionType.PUT:
price = self.strike * exp(- self.rate * self.expiry) * cdf(-d2) - self.spot * exp((self.cost_of_carry - self.rate) * self.expiry) * cdf(-d1)
#price = self.strike * exp(- self.rate * self.expiry) * norm.cdf(-d2) - self.spot * exp((self.cost_of_carry - self.rate) * self.expiry) * norm.cdf(-d1)
else:
raise OptionTypeError
return round(price, round_digit)
def _get_ABCDEF(self, ita, fi):
A = fi * self.spot * exp((self.coc - self.rate) * self.expiry) * cdf(fi * self.x1) - \
fi * self.strike * exp(- self.rate * self.expiry) * cdf(fi * self.x1 - fi * self.vol * sqrt(self.expiry))
B = fi * self.spot * exp((self.coc - self.rate) * self.expiry) * cdf(fi * self.x2) - \
fi * self.strike * exp(- self.rate * self.expiry) * cdf(fi * self.x2 - fi * self.vol * sqrt(self.expiry))
C = fi * self.spot * exp((self.coc - self.rate) * self.expiry) * (self.bar / self.spot)**(2 * self.u + 2) * cdf(ita * self.y1) - \
fi * self.strike * exp(- self.rate * self.expiry) * (self.bar / self.spot)**(2 * self.u) * cdf(ita * self.y1 - ita * self.vol * sqrt(self.expiry))
D = fi * self.spot * exp((self.coc - self.rate) * self.expiry) * (self.bar / self.spot)**(2 * self.u + 2) * cdf(ita * self.y2) - \
fi * self.strike * exp(- self.rate * self.expiry) * (self.bar / self.spot)**(2 * self.u) * cdf(ita * self.y2 - ita * self.vol * sqrt(self.expiry))
E = self.rebate * exp(- self.rate * self.expiry) * ( cdf(ita * self.x2 - ita * self.vol * sqrt(self.expiry)) -
(self.bar / self.spot)**(2 * self.u) * cdf(ita * self.y2 - ita * self.vol * sqrt(self.expiry)) )
F = self.rebate * ( (self.bar / self.spot)**(self.u + self.la) * cdf(ita * self.z) +
(self.bar / self.spot)**(self.u - self.la) * cdf(ita * self.z - 2 * ita * self.la * self.vol * sqrt(self.expiry)) )
return A, B, C, D, E, F
