def clean_price(self):
ws = 1.0 if (self.otype[0].upper() == 'C') else -1.0
n = len(self.fixing_dates)
m = len(self.past_fix)
if n == m:
return max((self.past_avg - self.strike) * ws, 0.0)
strike = (self.strike * n - self.past_avg * m) / float(n - m)
if strike < 0:
return max(
(self.past_avg * m + self.fwd_avg *
(n - m)) / float(n) - self.strike, 0) if ws > 0 else 0.0
volnode = cmq_volgrid.Delta5VolNode( self.value_date, \
self.volmark['expiry'], \
self.fwd_avg, \
self.volmark['COMVolATM'], \
self.volmark['COMVolV90'], \
self.volmark['COMVolV75'], \
self.volmark['COMVolV25'], \
self.volmark['COMVolV10'], \
"act365")
ivol = volnode.GetVolByStrike(strike, self.end)
cal_str = cmq_crv_defn.COM_Curve_Map[
self.fwd_index]['calendar'] + '_Holidays'
hols = getattr(misc, cal_str)
tau = misc.conv_expiry_date(self.value_date + datetime.timedelta(days = int(self.eod_flag)), \
self.start - datetime.timedelta(days=1), \
self.accrual, hols)
t_exp = misc.conv_expiry_date(self.value_date + datetime.timedelta(days = int(self.eod_flag)), \
self.end, self.accrual, hols)
vol_adj = bsopt.asian_vol_adj(ivol, t_exp, tau)
pr = bsopt.BSFwd((ws > 0), self.fwd_avg, strike, vol_adj, t_exp,
0) * self.df * float(n - m) / float(n)
return pr
def calc_port_values(fwd_path, fwds, vols, exp_dates, start_date=0, end_date = 365.0, \
opt_strikes = [63.5, 45.0], a = 1, b = 0, ir = 0.02, accr = 365.0):
num_steps, num_paths, num_fwds = fwd_path.shape
opt_values = []
num_opt = len(opt_strikes)
for i in range(num_opt):
opt_values.append(np.zeros(fwd_path.shape))
for step in range(num_steps):
curr_date = start_date + (end_date - start_date) / num_steps * step
for path in range(num_paths):
for idx, (f, v, dexp) in enumerate(zip(fwds, vols, exp_dates)):
for idy, s in enumerate(opt_strikes):
uv = v
if idy == 0:
IsCall = True
else:
IsCall = False
uv += 0.032
if dexp <= curr_date:
opt_values[idy][step, path, idx] = 0.0
else:
opt_values[idy][step, path, idx] = bsopt.BSFwd(
IsCall, fwd_path[step, path, idx], s, uv,
(dexp - curr_date) / accr, ir)
return opt_values
def clean_price(self):
ws = 1.0 if (self.otype[0].upper() == 'C') else -1.0
self.volnode = cmq_volgrid.Delta5VolNode(self.value_date, \
self.end, \
self.fx_fwd, \
self.volmark['FXVolATM'], \
self.volmark['FXVolV90'], \
self.volmark['FXVolV75'], \
self.volmark['FXVolV25'], \
self.volmark['FXVolV10'], \
self.accrual)
self.ivol = self.volnode.GetVolByStrike(self.strike, self.end)
t_exp = misc.conv_expiry_date(self.value_date, self.end, self.accrual,
[])
pr = bsopt.BSFwd((ws > 0), self.fx_fwd, self.strike, self.ivol, t_exp,
0) / self.fx_fwd * self.df
return pr
def clean_price(self):
ws = 1.0 if (self.otype[0].upper() == 'C') else -1.0
volnode = cmq_volgrid.SamuelDelta5VolNode(self.value_date, \
self.volmark['expiry'], \
self.fwd_avg, \
self.volmark['COMVolATM'], \
self.volmark['COMVolV90'], \
self.volmark['COMVolV75'], \
self.volmark['COMVolV25'], \
self.volmark['COMVolV10'], \
self.alpha,\
self.beta, \
"act365")
ivol = volnode.GetVolByStrike(self.strike, self.end)
t_exp = misc.conv_expiry_date(self.value_date, self.end, self.accrual,
[])
pr = bsopt.BSFwd(
(ws > 0), self.fwd_avg, self.strike, ivol, t_exp, 0) * self.df
return pr