def test_FinBondOption():
settlementDate = FinDate(1, 12, 2019)
maturityDate = settlementDate.addTenor("10Y")
coupon = 0.05
frequencyType = FinFrequencyTypes.SEMI_ANNUAL
accrualType = FinDayCountTypes.ACT_ACT_ICMA
bond = FinBond(maturityDate, coupon, frequencyType, accrualType)
tmat = (maturityDate - settlementDate) / gDaysInYear
times = np.linspace(0, tmat, 20)
dfs = np.exp(-0.05 * times)
discountCurve = FinDiscountCurve(settlementDate, times, dfs)
expiryDate = settlementDate.addTenor("18m")
strikePrice = 105.0
face = 100.0
optionType = FinBondOptionTypes.AMERICAN_CALL
price = bond.fullPriceFromDiscountCurve(settlementDate, discountCurve)
print("Fixed Income Price:", price)
for strikePrice in [90, 95, 100, 105, 110]:
sigma = 0.01
a = 0.1
bondOption = FinBondOption(bond, expiryDate, strikePrice, face,
optionType)
model = FinModelRatesHullWhite(a, sigma)
v = bondOption.value(settlementDate, discountCurve, model)
print("HW", strikePrice, v)
for strikePrice in [90, 95, 100, 105, 110]:
sigma = 0.20
a = 0.05
bondOption = FinBondOption(bond, expiryDate, strikePrice, face,
optionType)
model = FinModelRatesBlackKarasinski(a, sigma)
v = bondOption.value(settlementDate, discountCurve, model)
print("BK", strikePrice, v)
def test_FinBondOptionZEROVOLConvergence():
# Build discount curve
settlementDate = FinDate(1, 12, 2019) # CHANGED
rate = 0.05
discountCurve = FinDiscountCurveFlat(settlementDate, rate,
FinFrequencyTypes.ANNUAL)
# Bond details
issueDate = FinDate(1, 9, 2015)
maturityDate = FinDate(1, 9, 2025)
coupon = 0.06
freqType = FinFrequencyTypes.ANNUAL
accrualType = FinDayCountTypes.ACT_ACT_ICMA
bond = FinBond(issueDate, maturityDate, coupon, freqType, accrualType)
# Option Details
expiryDate = settlementDate.addTenor("18m") # FinDate(1, 12, 2021)
# print("EXPIRY:", expiryDate)
face = 100.0
dfExpiry = discountCurve.df(expiryDate)
spotCleanValue = bond.cleanPriceFromDiscountCurve(settlementDate,
discountCurve)
fwdCleanValue = bond.cleanPriceFromDiscountCurve(expiryDate, discountCurve)
# print("BOND SpotCleanBondPx", spotCleanValue)
# print("BOND FwdCleanBondPx", fwdCleanValue)
# print("BOND Accrued:", bond._accruedInterest)
spotCleanValue = bond.cleanPriceFromDiscountCurve(settlementDate,
discountCurve)
testCases.header("STRIKE", "STEPS", "CALL_INT", "CALL_INT_PV", "CALL_EUR",
"CALL_AMER", "PUT_INT", "PUT_INT_PV", "PUT_EUR",
"PUT_AMER")
numTimeSteps = range(100, 1000, 200)
strikePrices = [90, 100, 110, 120]
for strikePrice in strikePrices:
callIntrinsic = max(spotCleanValue - strikePrice, 0)
putIntrinsic = max(strikePrice - spotCleanValue, 0)
callIntrinsicPV = max(fwdCleanValue - strikePrice, 0) * dfExpiry
putIntrinsicPV = max(strikePrice - fwdCleanValue, 0) * dfExpiry
for numSteps in numTimeSteps:
sigma = 0.0000001
model = FinModelRatesBDT(sigma, numSteps)
optionType = FinOptionTypes.EUROPEAN_CALL
bondOption1 = FinBondOption(bond, expiryDate, strikePrice, face,
optionType)
v1 = bondOption1.value(settlementDate, discountCurve, model)
optionType = FinOptionTypes.AMERICAN_CALL
bondOption2 = FinBondOption(bond, expiryDate, strikePrice, face,
optionType)
v2 = bondOption2.value(settlementDate, discountCurve, model)
optionType = FinOptionTypes.EUROPEAN_PUT
bondOption3 = FinBondOption(bond, expiryDate, strikePrice, face,
optionType)
v3 = bondOption3.value(settlementDate, discountCurve, model)
optionType = FinOptionTypes.AMERICAN_PUT
bondOption4 = FinBondOption(bond, expiryDate, strikePrice, face,
optionType)
v4 = bondOption4.value(settlementDate, discountCurve, model)
testCases.print(strikePrice, numSteps, callIntrinsic,
callIntrinsicPV, v1, v2, putIntrinsic,
putIntrinsicPV, v3, v4)
def test_FinBondOption():
settlementDate = FinDate(1, 12, 2019)
issueDate = FinDate(1, 12, 2018)
maturityDate = settlementDate.addTenor("10Y")
coupon = 0.05
freqType = FinFrequencyTypes.SEMI_ANNUAL
accrualType = FinDayCountTypes.ACT_ACT_ICMA
bond = FinBond(issueDate, maturityDate, coupon, freqType, accrualType)
tmat = (maturityDate - settlementDate) / gDaysInYear
times = np.linspace(0, tmat, 20)
dates = settlementDate.addYears(times)
dfs = np.exp(-0.05 * times)
discountCurve = FinDiscountCurve(settlementDate, dates, dfs)
expiryDate = settlementDate.addTenor("18m")
strikePrice = 105.0
face = 100.0
###########################################################################
strikes = [80, 90, 100, 110, 120]
optionType = FinOptionTypes.EUROPEAN_CALL
testCases.header("LABEL", "VALUE")
price = bond.fullPriceFromDiscountCurve(settlementDate, discountCurve)
testCases.print("Fixed Income Price:", price)
numTimeSteps = 100
testCases.header("OPTION TYPE AND MODEL", "STRIKE", "VALUE")
for strikePrice in strikes:
sigma = 0.20
bondOption = FinBondOption(bond, expiryDate, strikePrice, face,
optionType)
model = FinModelRatesBDT(sigma, numTimeSteps)
v = bondOption.value(settlementDate, discountCurve, model)
testCases.print("EUROPEAN CALL - BK", strikePrice, v)
for strikePrice in strikes:
sigma = 0.20
bondOption = FinBondOption(bond, expiryDate, strikePrice, face,
optionType)
model = FinModelRatesBDT(sigma, numTimeSteps)
v = bondOption.value(settlementDate, discountCurve, model)
testCases.print("EUROPEAN CALL - BK", strikePrice, v)
###########################################################################
optionType = FinOptionTypes.AMERICAN_CALL
price = bond.fullPriceFromDiscountCurve(settlementDate, discountCurve)
testCases.header("LABEL", "VALUE")
testCases.print("Fixed Income Price:", price)
testCases.header("OPTION TYPE AND MODEL", "STRIKE", "VALUE")
for strikePrice in strikes:
sigma = 0.20
bondOption = FinBondOption(bond, expiryDate, strikePrice, face,
optionType)
model = FinModelRatesBDT(sigma, numTimeSteps)
v = bondOption.value(settlementDate, discountCurve, model)
testCases.print("AMERICAN CALL - BK", strikePrice, v)
for strikePrice in strikes:
sigma = 0.20
bondOption = FinBondOption(bond, expiryDate, strikePrice, face,
optionType)
model = FinModelRatesBDT(sigma, numTimeSteps)
v = bondOption.value(settlementDate, discountCurve, model)
testCases.print("AMERICAN CALL - BK", strikePrice, v)
###########################################################################
optionType = FinOptionTypes.EUROPEAN_PUT
price = bond.fullPriceFromDiscountCurve(settlementDate, discountCurve)
for strikePrice in strikes:
sigma = 0.01
bondOption = FinBondOption(bond, expiryDate, strikePrice, face,
optionType)
model = FinModelRatesBDT(sigma, numTimeSteps)
v = bondOption.value(settlementDate, discountCurve, model)
testCases.print("EUROPEAN PUT - BK", strikePrice, v)
for strikePrice in strikes:
sigma = 0.20
bondOption = FinBondOption(bond, expiryDate, strikePrice, face,
optionType)
model = FinModelRatesBDT(sigma, numTimeSteps)
v = bondOption.value(settlementDate, discountCurve, model)
testCases.print("EUROPEAN PUT - BK", strikePrice, v)
###########################################################################
optionType = FinOptionTypes.AMERICAN_PUT
price = bond.fullPriceFromDiscountCurve(settlementDate, discountCurve)
for strikePrice in strikes:
sigma = 0.02
bondOption = FinBondOption(bond, expiryDate, strikePrice, face,
optionType)
model = FinModelRatesBDT(sigma, numTimeSteps)
v = bondOption.value(settlementDate, discountCurve, model)
testCases.print("AMERICAN PUT - BK", strikePrice, v)
for strikePrice in strikes:
sigma = 0.20
bondOption = FinBondOption(bond, expiryDate, strikePrice, face,
optionType)
model = FinModelRatesBDT(sigma, numTimeSteps)
v = bondOption.value(settlementDate, discountCurve, model)
testCases.print("AMERICAN PUT - BK", strikePrice, v)
def test_FinBondOptionAmericanConvergenceTWO():
# Build discount curve
settlementDate = FinDate(1, 12, 2019)
discountCurve = FinDiscountCurveFlat(settlementDate, 0.05,
FinFrequencyTypes.CONTINUOUS)
# Bond details
issueDate = FinDate(1, 9, 2014)
maturityDate = FinDate(1, 9, 2025)
coupon = 0.05
freqType = FinFrequencyTypes.ANNUAL
accrualType = FinDayCountTypes.ACT_ACT_ICMA
bond = FinBond(issueDate, maturityDate, coupon, freqType, accrualType)
expiryDate = settlementDate.addTenor("18m")
face = 100.0
spotValue = bond.fullPriceFromDiscountCurve(settlementDate, discountCurve)
testCases.header("LABEL", "VALUE")
testCases.print("BOND PRICE", spotValue)
testCases.header("TIME", "N", "EUR_CALL", "AMER_CALL", "EUR_PUT",
"AMER_PUT")
sigma = 0.2
model = FinModelRatesBDT(sigma)
K = 101.0
vec_ec = []
vec_ac = []
vec_ep = []
vec_ap = []
if 1 == 1:
K = 100.0
bkModel = FinModelRatesBDT(sigma, 100)
europeanCallBondOption = FinBondOption(bond, expiryDate, K, face,
FinOptionTypes.EUROPEAN_CALL)
v_ec = europeanCallBondOption.value(settlementDate, discountCurve,
model)
testCases.header("LABEL", "VALUE")
testCases.print("OPTION", v_ec)
numStepsVector = range(100, 100, 1) # should be 100-400
for numSteps in numStepsVector:
bkModel = FinModelRatesBDT(sigma, numSteps)
start = time.time()
europeanCallBondOption = FinBondOption(bond, expiryDate, K, face,
FinOptionTypes.EUROPEAN_CALL)
v_ec = europeanCallBondOption.value(settlementDate, discountCurve,
bkModel)
americanCallBondOption = FinBondOption(bond, expiryDate, K, face,
FinOptionTypes.AMERICAN_CALL)
v_ac = americanCallBondOption.value(settlementDate, discountCurve,
bkModel)
europeanPutBondOption = FinBondOption(bond, expiryDate, K, face,
FinOptionTypes.EUROPEAN_PUT)
v_ep = europeanPutBondOption.value(settlementDate, discountCurve,
bkModel)
americanPutBondOption = FinBondOption(bond, expiryDate, K, face,
FinOptionTypes.AMERICAN_PUT)
v_ap = americanPutBondOption.value(settlementDate, discountCurve,
bkModel)
end = time.time()
period = end - start
testCases.print(period, numSteps, v_ec, v_ac, v_ep, v_ap)
vec_ec.append(v_ec)
vec_ac.append(v_ac)
vec_ep.append(v_ep)
vec_ap.append(v_ap)
if plotGraphs:
plt.figure()
plt.plot(numStepsVector, vec_ec, label="European Call")
plt.legend()
plt.figure()
plt.plot(numStepsVector, vec_ac, label="American Call")
plt.legend()
plt.figure()
plt.plot(numStepsVector, vec_ep, label="European Put")
plt.legend()
plt.figure()
plt.plot(numStepsVector, vec_ap, label="American Put")
plt.legend()
def test_FinBondOptionAmericanConvergenceONE():
# Build discount curve
settlementDate = FinDate(1, 12, 2019)
discountCurve = FinDiscountCurveFlat(settlementDate, 0.05)
# Bond details
issueDate = FinDate(1, 9, 2010)
maturityDate = FinDate(1, 9, 2025)
coupon = 0.05
freqType = FinFrequencyTypes.SEMI_ANNUAL
accrualType = FinDayCountTypes.ACT_ACT_ICMA
bond = FinBond(issueDate, maturityDate, coupon, freqType, accrualType)
# Option Details
expiryDate = FinDate(1, 12, 2020)
strikePrice = 100.0
face = 100.0
testCases.header("TIME", "N", "PUT_AMER", "PUT_EUR", "CALL_AME",
"CALL_EUR")
timeSteps = range(30, 100, 1)
for numTimeSteps in timeSteps:
sigma = 0.20
start = time.time()
optionType = FinOptionTypes.AMERICAN_PUT
bondOption1 = FinBondOption(bond, expiryDate, strikePrice, face,
optionType)
model = FinModelRatesBDT(sigma, numTimeSteps)
v1put = bondOption1.value(settlementDate, discountCurve, model)
optionType = FinOptionTypes.EUROPEAN_PUT
bondOption2 = FinBondOption(bond, expiryDate, strikePrice, face,
optionType)
model = FinModelRatesBDT(sigma, numTimeSteps)
v2put = bondOption2.value(settlementDate, discountCurve, model)
optionType = FinOptionTypes.AMERICAN_CALL
bondOption1 = FinBondOption(bond, expiryDate, strikePrice, face,
optionType)
model = FinModelRatesBDT(sigma, numTimeSteps)
v1call = bondOption1.value(settlementDate, discountCurve, model)
optionType = FinOptionTypes.EUROPEAN_CALL
bondOption2 = FinBondOption(bond, expiryDate, strikePrice, face,
optionType)
model = FinModelRatesBDT(sigma, numTimeSteps)
v2call = bondOption2.value(settlementDate, discountCurve, model)
end = time.time()
period = end - start
testCases.print(period, numTimeSteps, v1put, v2put, v1call, v2call)
def test_FinBondOption():
settlementDate = FinDate(1, 12, 2019)
issueDate = FinDate(1, 12, 2018)
maturityDate = settlementDate.addTenor("10Y")
coupon = 0.05
freqType = FinFrequencyTypes.SEMI_ANNUAL
accrualType = FinDayCountTypes.ACT_ACT_ICMA
bond = FinBond(issueDate, maturityDate, coupon, freqType, accrualType)
times = np.linspace(0, 10.0, 21)
dfs = np.exp(-0.05 * times)
dates = settlementDate.addYears(times)
discountCurve = FinDiscountCurve(settlementDate, dates, dfs)
expiryDate = settlementDate.addTenor("18m")
strikePrice = 105.0
face = 100.0
###########################################################################
strikes = [80, 85, 90, 95, 100, 105, 110, 115, 120]
optionType = FinOptionTypes.EUROPEAN_CALL
testCases.header("LABEL", "VALUE")
price = bond.cleanPriceFromDiscountCurve(settlementDate, discountCurve)
testCases.print("Fixed Income Price:", price)
numTimeSteps = 100
testCases.banner("HW EUROPEAN CALL")
testCases.header("STRIKE", "VALUE")
for strikePrice in strikes:
sigma = 0.01
a = 0.1
bondOption = FinBondOption(bond, expiryDate, strikePrice, face,
optionType)
model = FinModelRatesHW(sigma, a, numTimeSteps)
v = bondOption.value(settlementDate, discountCurve, model)
testCases.print(strikePrice, v)
###########################################################################
optionType = FinOptionTypes.AMERICAN_CALL
price = bond.cleanPriceFromDiscountCurve(settlementDate, discountCurve)
testCases.header("LABEL", "VALUE")
testCases.print("Fixed Income Price:", price)
testCases.banner("HW AMERICAN CALL")
testCases.header("STRIKE", "VALUE")
for strikePrice in strikes:
sigma = 0.01
a = 0.1
bondOption = FinBondOption(bond, expiryDate, strikePrice, face,
optionType)
model = FinModelRatesHW(sigma, a)
v = bondOption.value(settlementDate, discountCurve, model)
testCases.print(strikePrice, v)
###########################################################################
optionType = FinOptionTypes.EUROPEAN_PUT
testCases.banner("HW EUROPEAN PUT")
testCases.header("STRIKE", "VALUE")
price = bond.cleanPriceFromDiscountCurve(settlementDate, discountCurve)
for strikePrice in strikes:
sigma = 0.01
a = 0.1
bondOption = FinBondOption(bond, expiryDate, strikePrice, face,
optionType)
model = FinModelRatesHW(sigma, a)
v = bondOption.value(settlementDate, discountCurve, model)
testCases.print(strikePrice, v)
###########################################################################
optionType = FinOptionTypes.AMERICAN_PUT
testCases.banner("HW AMERICAN PUT")
testCases.header("STRIKE", "VALUE")
price = bond.cleanPriceFromDiscountCurve(settlementDate, discountCurve)
for strikePrice in strikes:
sigma = 0.02
a = 0.1
bondOption = FinBondOption(bond, expiryDate, strikePrice, face,
optionType)
model = FinModelRatesHW(sigma, a)
v = bondOption.value(settlementDate, discountCurve, model)
testCases.print(strikePrice, v)
def test_FinBondOptionEuropeanConvergence():
# CONVERGENCE TESTS
# COMPARE AMERICAN TREE VERSUS JAMSHIDIAN IN EUROPEAN LIMIT TO CHECK THAT
# TREE HAS BEEN CORRECTLY CONSTRUCTED. FIND VERY GOOD AGREEMENT.
# Build discount curve
settlementDate = FinDate(1, 12, 2019)
discountCurve = FinDiscountCurveFlat(settlementDate, 0.05,
FinFrequencyTypes.CONTINUOUS)
# Bond details
issueDate = FinDate(1, 12, 2015)
maturityDate = FinDate(1, 12, 2020)
coupon = 0.05
freqType = FinFrequencyTypes.ANNUAL
accrualType = FinDayCountTypes.ACT_ACT_ICMA
bond = FinBond(issueDate, maturityDate, coupon, freqType, accrualType)
# Option Details - put expiry in the middle of a coupon period
expiryDate = FinDate(1, 3, 2020)
strikePrice = 100.0
face = 100.0
timeSteps = range(100, 400, 100)
strikePrice = 100.0
testCases.header("TIME", "N", "PUT_JAM", "PUT_TREE", "CALL_JAM",
"CALL_TREE")
for numTimeSteps in timeSteps:
sigma = 0.05
a = 0.1
start = time.time()
optionType = FinOptionTypes.EUROPEAN_PUT
bondOption1 = FinBondOption(bond, expiryDate, strikePrice, face,
optionType)
model1 = FinModelRatesHW(sigma, a, numTimeSteps)
v1put = bondOption1.value(settlementDate, discountCurve, model1)
bondOption2 = FinBondOption(bond, expiryDate, strikePrice, face,
optionType)
model2 = FinModelRatesHW(sigma, a, numTimeSteps,
FinHWEuropeanCalcType.EXPIRY_ONLY)
v2put = bondOption2.value(settlementDate, discountCurve, model2)
optionType = FinOptionTypes.EUROPEAN_CALL
bondOption1 = FinBondOption(bond, expiryDate, strikePrice, face,
optionType)
model1 = FinModelRatesHW(sigma, a, numTimeSteps)
v1call = bondOption1.value(settlementDate, discountCurve, model1)
bondOption2 = FinBondOption(bond, expiryDate, strikePrice, face,
optionType)
model2 = FinModelRatesHW(sigma, a, numTimeSteps,
FinHWEuropeanCalcType.EXPIRY_TREE)
v2call = bondOption2.value(settlementDate, discountCurve, model2)
end = time.time()
period = end - start
testCases.print(period, numTimeSteps, v1put, v2put, v1call, v2call)
def test_FinBondOptionAmericanConvergenceTWO():
# Build discount curve
settlementDate = FinDate(1, 12, 2019)
discountCurve = FinDiscountCurveFlat(settlementDate, 0.05)
# Bond details
issueDate = FinDate(1, 12, 2015)
maturityDate = settlementDate.addTenor("10Y")
coupon = 0.05
frequencyType = FinFrequencyTypes.SEMI_ANNUAL
accrualType = FinDayCountTypes.ACT_ACT_ICMA
bond = FinBond(issueDate, maturityDate, coupon, frequencyType, accrualType)
expiryDate = settlementDate.addTenor("18m")
face = 100.0
spotValue = bond.cleanPriceFromDiscountCurve(settlementDate, discountCurve)
testCases.header("LABEL", "VALUE")
testCases.print("BOND PRICE", spotValue)
testCases.header("PERIOD", "N", "EUR_CALL", "AMER_CALL",
"EUR_PUT", "AMER_PUT")
sigma = 0.01
a = 0.1
hwModel = FinModelRatesHW(sigma, a)
K = 102.0
vec_ec = []
vec_ac = []
vec_ep = []
vec_ap = []
numStepsVector = range(10, 500, 10)
for numSteps in numStepsVector:
hwModel = FinModelRatesHW(sigma, a, numSteps)
start = time.time()
europeanCallBondOption = FinBondOption(bond, expiryDate, K, face,
FinOptionTypes.EUROPEAN_CALL)
v_ec = europeanCallBondOption.value(settlementDate, discountCurve,
hwModel)
americanCallBondOption = FinBondOption(bond, expiryDate, K, face,
FinOptionTypes.AMERICAN_CALL)
v_ac = americanCallBondOption.value(settlementDate, discountCurve,
hwModel)
europeanPutBondOption = FinBondOption(bond, expiryDate, K, face,
FinOptionTypes.EUROPEAN_PUT)
v_ep = europeanPutBondOption.value(settlementDate, discountCurve,
hwModel)
americanPutBondOption = FinBondOption(bond, expiryDate, K, face,
FinOptionTypes.AMERICAN_PUT)
v_ap = americanPutBondOption.value(settlementDate, discountCurve,
hwModel)
end = time.time()
period = end - start
testCases.print(period, numSteps, v_ec, v_ac, v_ep, v_ap)
vec_ec.append(v_ec)
vec_ac.append(v_ac)
vec_ep.append(v_ep)
vec_ap.append(v_ap)
if plotGraphs:
plt.figure()
plt.plot(numStepsVector, vec_ac, label="American Call")
plt.legend()
plt.figure()
plt.plot(numStepsVector, vec_ap, label="American Put")
plt.legend()
