def load_volgrids(self):
self.logger.info('loading volgrids')
dtoday = datetime2xl(datetime.datetime.now())
for prod in self.volgrids.keys():
logfile = self.folder + 'volgrids_' + prod + '.csv'
self.volgrids[prod].dtoday = dtoday
if os.path.isfile(logfile):
with open(logfile, 'rb') as f:
reader = csv.reader(f)
for row in enumerate(reader):
inst = row[0]
expiry = datetime.date.strptime(row[1], '%Y%m%d')
fwd = float(row[2])
atm = float(row[3])
v90 = float(row[4])
v75 = float(row[5])
v25 = float(row[6])
v10 = float(row[7])
if len(row) > 8:
ccy = str(row[8])
else:
ccy = 'CNY'
dexp = date2xl(expiry) + 15.0 / 24.0
self.volgrids[prod].underlier[expiry] = inst
self.volgrids[prod].df[expiry] = discount(
self.irate[ccy], dtoday, dexp)
self.volgrids[prod].fwd[expiry] = fwd
self.volgrids[prod].dexp[expiry] = dexp
self.volgrids[prod].volparam[expiry] = [
atm, v90, v75, v25, v10
]
self.volgrids[prod].volnode[
expiry] = pyktlib.Delta5VolNode(
dtoday, dexp, fwd, atm, v90, v75, v25, v10,
self.volgrids[prod].accrual)
else:
for expiry in self.volgrids[prod].option_insts:
dexp = date2xl(expiry) + 15.0 / 24.0
under_instID = self.volgrids[prod].underlier[expiry]
fwd = self.instruments[under_instID].price
ccy = self.instruments[under_instID].ccy
if self.volgrids[prod].spot_model:
fwd = fwd / self.volgrids[prod].df[expiry]
self.volgrids[prod].fwd[expiry] = fwd
self.volgrids[prod].dexp[expiry] = dexp
self.volgrids[prod].df[expiry] = discount(
self.irate[ccy], dtoday, dexp)
atm = self.volgrids[prod].volparam[expiry][0]
v90 = self.volgrids[prod].volparam[expiry][1]
v75 = self.volgrids[prod].volparam[expiry][2]
v25 = self.volgrids[prod].volparam[expiry][3]
v10 = self.volgrids[prod].volparam[expiry][4]
self.volgrids[prod].volnode[
expiry] = pyktlib.Delta5VolNode(
dtoday, dexp, fwd, atm, v90, v75, v25, v10,
self.volgrids[prod].accrual)
return
def set_market_data(self, market_data):
self.today = misc.datetime2xl(datetime.datetime.strptime(market_data['MarketDate'], '%Y-%m-%d'))
misc.Date.set_origin(*[int(s) for s in market_data['MarketDate'].split('-')][::-1])
super(FXOptionPricer, self).set_market_data(market_data)
fwd_quotes = market_data["FXFwd_" + self.ccypair]
fwdtenors = [misc.datetime2xl(datetime.datetime.strptime(knot[2], '%Y-%m-%d')) for knot in fwd_quotes]
spot_date = misc.Date(str(market_data['MarketDate']))
fwds = [knot[1] for knot in fwd_quotes]
self.fx_spot = fwds[0]
fwdcurve = curve.ForwardCurve.from_array(fwdtenors, fwds)
self.fx_fwd = fwdcurve(self.expiry)
vol_field = "FXVOL_" + self.ccypair
calendar = misc.Calendar.US
voltenors = [ float(calendar.advance(spot_date, misc.Period(str(knot[0]))) - spot_date) for knot in market_data[vol_field]['ATM']]
volmark = {}
volmark['tenor'] = voltenors
for field in ['ATM', 'RRd25', 'RRd10', 'BFd25', 'BFd10']:
volmark[field] = [market_data[vol_field][field][i][1] for i in range(len(voltenors))]
tom = self.expiry - self.today
volpts = {}
for field in ['ATM', 'RRd25', 'RRd10', 'BFd25', 'BFd10']:
if field == 'ATM':
mode = curve.VolCurve.InterpMode.LinearTime
else:
mode = curve.VolCurve.InterpMode.SqrtTime
vcurve = curve.VolCurve.from_array( volmark['tenor'], volmark[field], interp_mode = mode )
volpts[field] = vcurve(tom)
self.atm = volpts['ATM']
self.v10 = volpts['BFd10'] + volpts['RRd10']/2.0
self.v90 = volpts['BFd10'] - volpts['RRd10']/2.0
self.v25 = volpts['BFd25'] + volpts['RRd25']/2.0
self.v75 = volpts['BFd25'] - volpts['RRd25']/2.0
self.volnode = pyktlib.Delta5VolNode(self.today, self.expiry, self.fx_fwd, self.atm, self.v90, self.v75, self.v25, self.v10, "act365")
def load_state(self):
logfile = self.folder + 'strat_status.csv'
if not os.path.isfile(logfile):
return
self.logger.info('load state for strat = %s' % (self.name))
with open(logfile, 'rb') as f:
reader = csv.reader(f)
for idx, row in enumerate(reader):
if row[0] == 'VolNode':
expiry = datetime.datetime.strptime(
row[1], '%Y%m%d %H:%M:%S')
fwd = float(row[2])
atm = float(row[3])
v90 = float(row[4])
v75 = float(row[5])
v25 = float(row[6])
v10 = float(row[7])
dtoday = datetime2xl(datetime.datetime.now())
dexp = datetime2xl(expiry)
self.volgrids[expiry] = pyktlib.Delta5VolNode(
dtoday, dexp, fwd, atm, v90, v75, v25, v10,
self.accrual)
elif row[0] == 'Pos':
instID = str(row[1])
self.option_map.loc[instID, 'pos'] = int(row[2])
return
def reset_newvol(self, expiry):
vn = self.volgrid.volnode[expiry]
self.new_volnode[expiry] = pyktlib.Delta5VolNode(vn.expiry_(), vn.fwd_(), vn.atmVol_(), vn.d90Vol_(),
vn.d75Vol_(), vn.d25Vol_(), vn.d10Vol_(), vn.accrual_())
vol_params = [vn.atmVol_(), vn.d90Vol_(), vn.d75Vol_(), vn.d25Vol_(), vn.d10Vol_()]
for vlbl, vol_data in zip(['Atm', 'V90', 'V75', 'V25', 'V10'], vol_params):
self.stringvars['NewVolParam'][expiry][vlbl].set(keepdigit(vol_data, 4))
def __init__(self, strat, app, master):
self.pricer = strat.pricer
self.root = master
self.name = strat.name
self.app = app
self.underliers = strat.underliers
self.option_insts = strat.option_insts.keys()
self.expiries = strat.expiries
self.spot_model = strat.spot_model
self.cont_mth = []
if len(self.underliers) == 1:
self.cont_mth = [ d.year*100+d.month for d in self.expiries]
else:
self.cont_mth = [ 201000 + int(inst[-3:]) for inst in self.underliers]
self.strikes = strat.strikes
self.opt_dict = strat.opt_dict
self.canvas = None
self.pos_canvas = None
self.frame = None
self.pos_frame = None
#vol_labels = ['Expiry', 'Under', 'Df', 'Fwd', 'Atm', 'V90', 'V75', 'V25', 'V10', 'Updated']
self.volgrids = {}
self.fwds = {}
self.vol_params = {}
self.curr_insts = {}
self.rf = strat.irate
for expiry in self.expiries:
vol = strat.volgrids[expiry]
dtoday = vol.dtoday_()
dexp = vol.dexp_()
fwd = vol.fwd_()
self.fwds[expiry] = fwd
atm = vol.atmVol_()
v90 = vol.d90Vol_()
v75 = vol.d75Vol_()
v25 = vol.d25Vol_()
v10 = vol.d10Vol_()
self.vol_params = [atm, v90, v75, v25, v10]
accr= strat.accrual
#print dtoday, dexp, fwd, atm, v90, v75, v25, v10, accr
self.volgrids[expiry] = pyktlib.Delta5VolNode(dtoday, dexp, fwd, atm, v90, v75, v25, v10, accr)
self.entries = {}
self.option_map = {}
self.group_risk = {}
self.stringvars = {'Insts':{}, 'Volgrid':{}}
self.entry_fields = []
self.status_fields = []
self.field_types = {}
def copy_volgrid(vg):
volgrid = VolGrid(vg.name, accrual=vg.accrual, is_spot=vg.spot_model)
volgrid.main_cont = vg.main_cont
volgrid.dtoday = vg.dtoday
for expiry in vg.option_insts:
volgrid.df[expiry] = vg.df[expiry]
volgrid.fwd[expiry] = vg.fwd[expiry]
volgrid.volnode[expiry] = pyktlib.Delta5VolNode(
vg.dtoday, vg.dexp[expiry], vg.fwd[expiry], vg.volparam[expiry][0],
vg.volparam[expiry][1], vg.volparam[expiry][2],
vg.volparam[expiry][3], vg.volparam[expiry][4], vg.accrual)
volgrid.volparam[expiry] = copy.copy(vg.volparam[expiry])
volgrid.underlier[expiry] = copy.copy(vg.underlier[expiry])
volgrid.dexp[expiry] = vg.dexp[expiry]
volgrid.option_insts[expiry] = copy.copy(vg.option_insts[expiry])
return volgrid
def initialize(self):
self.load_state()
dtoday = date2xl(self.agent.scur_day) + max(
self.agent.tick_id - 600000, 0) / 2400000.0
for idx, expiry in enumerate(self.expiries):
dexp = datetime2xl(expiry)
self.DFs[idx] = self.get_DF(dtoday, dexp)
fwd = self.get_fwd(idx)
self.last_updated[expiry]['fwd'] = fwd
self.last_updated[expiry]['dtoday'] = dtoday
if self.spot_model:
self.option_map.loc[self.underliers[0], 'delta'] = 1.0
self.option_map.loc[self.underliers[0], 'df'] = 1.0
else:
self.option_map.loc[self.underliers[idx],
'delta'] = self.DFs[idx]
self.option_map.loc[self.underliers[idx], 'df'] = self.DFs[idx]
if self.volgrids[expiry] == None:
self.volgrids[expiry] = pyktlib.Delta5VolNode(
dtoday, dexp, fwd, 0.24, 0.0, 0.0, 0.0, 0.0, self.accrual)
self.volgrids[expiry].setFwd(fwd)
self.volgrids[expiry].setToday(dtoday)
self.volgrids[expiry].setExp(dexp)
self.volgrids[expiry].initialize()
if self.spot_model:
cont_mth = expiry.year * 100 + expiry.month
else:
cont_mth = self.agent.instruments[
self.underliers[idx]].cont_mth
indices = self.option_map[(self.option_map.cont_mth == cont_mth)
& (self.option_map.otype != 0)].index
for inst in indices:
strike = self.option_map.loc[inst].strike
otype = self.option_map.loc[inst].otype
if not self.spot_model:
self.option_map.loc[inst, 'df'] = self.DFs[idx]
self.option_insts[inst] = self.pricer(dtoday, dexp, fwd,
self.volgrids[expiry],
strike, self.irate,
otype)
self.update_greeks(inst)
self.update_pos_greeks()
self.update_group_risk()
self.update_margin()
self.is_initialized = True
return
def copy_volgrid(vg):
volgrid = VolGrid(vg.name,
accrual=vg.accrual,
is_spot=vg.spot_model,
ccy=vg.ccy)
volgrid.main_cont = vg.main_cont
for expiry in vg.option_insts:
volgrid.df[expiry] = vg.df[expiry]
volgrid.fwd[expiry] = vg.fwd[expiry]
volgrid.last_update[expiry] = vg.last_update[expiry]
volgrid.volnode[expiry] = pyktlib.Delta5VolNode(
vg.t2expiry[expiry] / BDAYS_PER_YEAR, vg.fwd[expiry],
vg.volparam[expiry][0], vg.volparam[expiry][1],
vg.volparam[expiry][2], vg.volparam[expiry][3],
vg.volparam[expiry][4], vg.accrual)
volgrid.volparam[expiry] = copy.copy(vg.volparam[expiry])
volgrid.underlier[expiry] = copy.copy(vg.underlier[expiry])
volgrid.t2expiry[expiry] = vg.t2expiry[expiry]
volgrid.option_insts[expiry] = copy.copy(vg.option_insts[expiry])
return volgrid
def load_volgrids(self):
self.logger.info('loading volgrids')
for prod in self.volgrids.keys():
logfile = self.folder + 'volgrids_' + prod + '.csv'
if os.path.isfile(logfile):
with open(logfile, 'rb') as f:
reader = csv.reader(f)
for row in reader:
inst = row[0]
expiry = datetime.datetime.strptime(
row[1], '%Y%m%d %H%M%S')
fwd = float(row[2])
atm = float(row[3])
v90 = float(row[4])
v75 = float(row[5])
v25 = float(row[6])
v10 = float(row[7])
last_update = float(row[8])
if len(row) > 9:
ccy = str(row[9])
else:
ccy = 'CNY'
if len(row) > 10:
mark_date = datetime.datetime.strptime(
row[10], '%Y%m%d')
if self.scur_day > mark_date.date():
last_update = 0
dexp = datetime2xl(expiry)
vg = self.volgrids[prod]
vg.underlier[expiry] = inst
vg.df[expiry] = discount(self.irate[ccy],
self.dtoday(), dexp)
vg.fwd[expiry] = fwd
vg.volparam[expiry] = [atm, v90, v75, v25, v10]
vg.volnode[expiry] = pyktlib.Delta5VolNode(
self.dtoday(), dexp, fwd, atm, v90, v75, v25, v10,
self.volgrids[prod].accrual)
vg.t2expiry[expiry] = vg.volnode[expiry].expiry_(
) * BDAYS_PER_YEAR
vg.last_update[expiry] = last_update
else:
for expiry in self.volgrids[prod].option_insts:
dexp = datetime2xl(expiry)
vg = self.volgrids[prod]
under_instID = vg.underlier[expiry]
fwd = self.instruments[under_instID].price
ccy = self.instruments[under_instID].ccy
if vg.spot_model:
fwd = fwd / vg.df[expiry]
vg.fwd[expiry] = fwd
vg.df[expiry] = discount(self.irate[ccy], self.dtoday(),
dexp)
atm = vg.volparam[expiry][0]
v90 = vg.volparam[expiry][1]
v75 = vg.volparam[expiry][2]
v25 = vg.volparam[expiry][3]
v10 = vg.volparam[expiry][4]
vg.volnode[expiry] = pyktlib.Delta5VolNode(
self.dtoday(), dexp, fwd, atm, v90, v75, v25, v10,
self.volgrids[prod].accrual)
vg.t2expiry[expiry] = vg.volnode[expiry].expiry_(
) * BDAYS_PER_YEAR
vg.last_update[expiry] = 0
def __init__(self, vg, app, master):
all_insts = app.agent.instruments
self.root = master
self.name = vg.name
self.app = app
self.option_style = 'EU' if self.name in product_code['CFFEX'] else 'AM'
if self.option_style == 'EU':
self.iv_func = pyktlib.BlackImpliedVol
else:
self.iv_func = pyktlib.AmericanImpliedVol
self.iv_steps = 40
self.iv_tol = 1e-5
self.expiries = vg.underlier.keys()
self.expiries.sort()
self.underliers = [vg.underlier[expiry] for expiry in self.expiries]
opt_insts = list(set().union(*vg.option_insts.values()))
self.option_insts = {}
for inst in opt_insts:
self.option_insts[inst] = (all_insts[inst].cont_mth, all_insts[inst].otype, all_insts[inst].strike)
self.spot_model = vg.spot_model
self.cont_mth = list(set([ all_insts[inst].cont_mth for inst in self.option_insts]))
self.cont_mth.sort()
self.strikes = [list(set([ all_insts[inst].strike for inst in vg.option_insts[expiry]])) for expiry in self.expiries]
for idx in range(len(self.strikes)):
self.strikes[idx].sort()
self.opt_dict = {v: k for k, v in self.option_insts.iteritems()}
self.volgrid = instrument.copy_volgrid(vg)
self.rf = app.agent.irate.get(vg.ccy, 0.0)
self.vm_figure = {}
self.vm_lines = dict([(exp, {}) for exp in self.expiries])
self.vm_ax = {}
self.otype_selector = {}
self.cbbox = {}
self.strike_selector = {}
self.stringvars = {'Insts': {}, 'Volgrid': {}, 'NewVolParam': {}, 'TheoryVol': {}, 'NewVol': {}, 'DiffVol': {},\
'Selected': {}, 'ArbStatus': {}}
self.new_volnode = {}
self.curr_insts = {}
self.option_map = {}
self.group_risk = {}
inst_labels = ['Name', 'Price', 'BidPrice', 'BidVol', 'BidIV', 'AskPrice','AskVol','AskIV', 'MidIV', 'TheoryVol', 'Intrinsic', \
'Volume', 'OI', 'Updated', 'PV', 'Delta', 'Gamma','Vega', 'Theta', 'RiskPrice', 'RiskUpdated']
inst_types = ['string', 'float', 'float', 'int', 'float', 'float', 'int', 'float', 'float', 'float', 'float', \
'int', 'int', 'int', 'float', 'float', 'float', 'float', 'float', 'float', 'float']
for inst in self.option_insts:
if inst not in self.stringvars:
self.stringvars[inst] = {}
for lbl, itype in zip(inst_labels, inst_types):
self.stringvars[inst][lbl] = get_type_var(itype)
under_labels = ['Name', 'Price', 'MidPrice', 'BidPrice','BidVol','AskPrice','AskVol','UpLimit','DownLimit', 'Volume', 'OI', 'Updated']
under_types = ['string', 'float', 'float', 'float', 'int', 'float', 'int', 'float', 'float', 'int', 'int', 'int']
for inst in list(set(self.underliers)):
if inst not in self.stringvars:
self.stringvars[inst] = {}
for ulbl, utype in zip(under_labels, under_types):
self.stringvars[inst][ulbl] = get_type_var(utype)
vol_labels = ['Expiry', 'Under', 'Df', 'Fwd', 'Atm', 'V90', 'V75', 'V25', 'V10', 'T2expiry', 'Updated' ]
vol_types = ['string', 'string', 'float', 'float', 'float', 'float', 'float', 'float', 'float', 'float', 'float']
self.combobox_choices = ['C-BidIV', 'C-MidIV', 'C-AskIV', 'P-BidIV', 'P-MidIV', 'P-AskIV']
for strikes, expiry in zip(self.strikes, self.expiries):
self.stringvars['Volgrid'][expiry] = {}
self.stringvars['NewVolParam'][expiry] = {}
self.stringvars['Selected'][expiry] = {}
self.stringvars['ArbStatus'][expiry] = get_type_var('string')
self.stringvars['TheoryVol'][expiry] = {}
self.stringvars['NewVol'][expiry] = {}
self.stringvars['DiffVol'][expiry] = {}
self.otype_selector[expiry] = {}
self.cbbox[expiry] = {}
self.strike_selector[expiry] = {}
vn = self.volgrid.volnode[expiry]
self.new_volnode[expiry] = pyktlib.Delta5VolNode(vn.expiry_(), vn.fwd_(), vn.atmVol_(), vn.d90Vol_(), vn.d75Vol_(), vn.d25Vol_(), vn.d10Vol_(), vn.accrual_())
for vlbl, vtype in zip(vol_labels, vol_types):
self.stringvars['Volgrid'][expiry][vlbl] = get_type_var(vtype)
for vlbl in ['Atm', 'V90', 'V75', 'V25', 'V10']:
val = self.stringvars['Volgrid'][expiry][vlbl].get()
self.stringvars['NewVolParam'][expiry][vlbl] = get_type_var('float')
self.stringvars['NewVolParam'][expiry][vlbl].set(keepdigit(val,4))
fwd = vn.fwd_()
for strike in strikes:
self.otype_selector[expiry][strike] = tk.StringVar()
self.strike_selector[expiry][strike] = tk.BooleanVar()
iv = self.volgrid.volnode[expiry].GetVolByStrike(strike)
self.stringvars['Selected'][expiry][strike] = get_type_var('float')
self.stringvars['Selected'][expiry][strike].set(0.0)
self.stringvars['TheoryVol'][expiry][strike] = get_type_var('float')
self.stringvars['TheoryVol'][expiry][strike].set(keepdigit(iv, 4))
self.stringvars['NewVol'][expiry][strike] = get_type_var('float')
self.stringvars['NewVol'][expiry][strike].set(keepdigit(iv, 4))
self.stringvars['DiffVol'][expiry][strike] = get_type_var('float')
self.stringvars['DiffVol'][expiry][strike].set(0.0)
self.stringvars['FigSetup'] = dict([(exp, {'YLow': get_type_var('float'), 'YHigh': get_type_var('float')}) for exp in self.expiries])
for exp in self.expiries:
for key, ylim in zip(['YLow', 'YHigh'], [0.1, 0.8]):
self.stringvars['FigSetup'][exp][key].set(ylim)
