def test_FinEquityChooserOptionDerivicom():
'''http://derivicom.com/support/finoptionsxl/index.html?complex_chooser.htm '''
valueDate = FinDate(1, 1, 2007)
chooseDate = FinDate(1, 2, 2007)
callExpiryDate = FinDate(1, 4, 2007)
putExpiryDate = FinDate(1, 5, 2007)
callStrike = 40.0
putStrike = 35.0
stockPrice = 38.0
volatility = 0.20
interestRate = 0.08
dividendYield = 0.0625
model = FinEquityModelBlackScholes(volatility)
discountCurve = FinDiscountCurveFlat(valueDate, interestRate)
chooserOption = FinEquityChooserOption(chooseDate, callExpiryDate,
putExpiryDate, callStrike,
putStrike)
v = chooserOption.value(valueDate, stockPrice, discountCurve,
dividendYield, model)
v_mc = chooserOption.valueMC(valueDate, stockPrice, discountCurve,
dividendYield, model, 20000)
v_derivicom = 1.0989
testCases.header("", "", "", "", "", "")
testCases.print("FINANCEPY", v, "DERIVICOM", v_derivicom, "MC", v_mc)
def test_FinEquityChooserOptionMatlab():
'''https://fr.mathworks.com/help/fininst/chooserbybls.html '''
valueDate = FinDate(1, 6, 2007)
chooseDate = FinDate(31, 8, 2007)
callExpiryDate = FinDate(2, 12, 2007)
putExpiryDate = FinDate(2, 12, 2007)
callStrike = 60.0
putStrike = 60.0
stockPrice = 50.0
volatility = 0.20
interestRate = 0.10
dividendYield = 0.05
model = FinEquityModelBlackScholes(volatility)
discountCurve = FinDiscountCurveFlat(valueDate, interestRate)
chooserOption = FinEquityChooserOption(chooseDate, callExpiryDate,
putExpiryDate, callStrike,
putStrike)
v = chooserOption.value(valueDate, stockPrice, discountCurve,
dividendYield, model)
v_mc = chooserOption.valueMC(valueDate, stockPrice, discountCurve,
dividendYield, model, 20000)
v_matlab = 8.9308
testCases.header("", "", "", "", "", "")
testCases.print("FINANCEPY", v, "MATLAB", v_matlab, "MC", v_mc)
def test_FinEquityChooserOptionHaug():
''' Following example in Haug Page 130 '''
valueDate = FinDate(1, 1, 2015)
chooseDate = FinDate(2, 4, 2015)
callExpiryDate = FinDate(1, 7, 2015)
putExpiryDate = FinDate(2, 8, 2015)
callStrike = 55.0
putStrike = 48.0
stockPrice = 50.0
volatility = 0.35
interestRate = 0.10
dividendYield = 0.05
model = FinEquityModelBlackScholes(volatility)
discountCurve = FinDiscountCurveFlat(valueDate, interestRate)
chooserOption = FinEquityChooserOption(chooseDate, callExpiryDate,
putExpiryDate, callStrike,
putStrike)
v = chooserOption.value(valueDate, stockPrice, discountCurve,
dividendYield, model)
v_mc = chooserOption.valueMC(valueDate, stockPrice, discountCurve,
dividendYield, model, 20000)
v_haug = 6.0508
testCases.header("", "", "", "", "", "")
testCases.print("FINANCEPY", v, "HAUG", v_haug, "MC", v_mc)
def test_FinEquityCliquetOptionHaug():
''' Following example in Haug Page 130 '''
startDate = FinDate(1, 1, 2015)
finalExpiryDate = FinDate(1, 1, 2017)
frequencyType = FinFrequencyTypes.QUARTERLY
optionType = FinOptionTypes.EUROPEAN_CALL
cliquetOption = FinEquityCliquetOption(startDate, finalExpiryDate,
optionType, frequencyType)
valueDate = FinDate(1, 8, 2016)
stockPrice = 50.0
volatility = 0.35
interestRate = 0.10
dividendYield = 0.05
model = FinEquityModelBlackScholes(volatility)
discountCurve = FinDiscountCurveFlat(valueDate, interestRate)
v = cliquetOption.value(valueDate, stockPrice, discountCurve,
dividendYield, model)
testCases.print("FINANCEPY", v)
def testConvergence():
valueDate = FinDate(2014, 1, 1)
startAveragingDate = FinDate(2014, 6, 1)
expiryDate = FinDate(2015, 1, 1)
stockPrice = 100.0
volatility = 0.20
interestRate = 0.30
dividendYield = 0.10
numObservations = 120 # daily as we have a half year
accruedAverage = None
K = 100
seed = 1976
model = FinEquityModelBlackScholes(volatility)
discountCurve = FinDiscountCurveFlat(valueDate, interestRate)
asianOption = FinEquityAsianOption(startAveragingDate, expiryDate, K,
FinOptionTypes.EUROPEAN_CALL,
numObservations)
testCases.header("K", "Geometric", "Turnbull_Wakeman", "Curran", "FastMC",
"FastMC_CV")
valuesTurnbull = []
valuesCurran = []
valuesGeometric = []
valuesMC_fast = []
valuesMC_CV = []
numPathsList = [5000]
for numPaths in numPathsList:
accruedAverage = stockPrice * 1.1
valueMC_fast = asianOption._valueMC_fast(valueDate, stockPrice,
discountCurve, dividendYield,
model, numPaths, seed,
accruedAverage)
valueMC_CV = asianOption.valueMC(valueDate, stockPrice, discountCurve,
dividendYield, model, numPaths, seed,
accruedAverage)
valueGeometric = asianOption.value(
valueDate, stockPrice, discountCurve, dividendYield, model,
FinAsianOptionValuationMethods.GEOMETRIC, accruedAverage)
valueTurnbullWakeman = asianOption.value(
valueDate, stockPrice, discountCurve, dividendYield, model,
FinAsianOptionValuationMethods.TURNBULL_WAKEMAN, accruedAverage)
valueCurran = asianOption.value(valueDate, stockPrice, discountCurve,
dividendYield, model,
FinAsianOptionValuationMethods.CURRAN,
accruedAverage)
valuesGeometric.append(valueGeometric)
valuesTurnbull.append(valueTurnbullWakeman)
valuesCurran.append(valueCurran)
valuesMC_fast.append(valueMC_fast)
valuesMC_CV.append(valueMC_CV)
testCases.print(numPaths, valueGeometric, valueTurnbullWakeman,
valueCurran, valueMC_fast, valueMC_CV)
def testMCTimings():
valueDate = FinDate(2014, 1, 1)
startAveragingDate = FinDate(2014, 6, 1)
expiryDate = FinDate(2015, 1, 1)
stockPrice = 100.0
volatility = 0.20
interestRate = 0.30
dividendYield = 0.10
numObservations = 120 # daily as we have a half year
accruedAverage = None
K = 100
seed = 1976
model = FinEquityModelBlackScholes(volatility)
discountCurve = FinDiscountCurveFlat(valueDate, interestRate)
asianOption = FinEquityAsianOption(startAveragingDate, expiryDate, K,
FinOptionTypes.EUROPEAN_CALL,
numObservations)
testCases.header("NUMPATHS", "VALUE", "TIME", "VALUE_MC", "TIME",
"VALUE_MC_CV", "TIME")
valuesMC = []
valuesMC_fast = []
valuesMC_fast_CV = []
tvaluesMC = []
tvaluesMC_fast = []
tvaluesMC_fast_CV = []
numPathsList = [5000]
for numPaths in numPathsList:
accruedAverage = stockPrice * 1.1
start = time.time()
valueMC = asianOption.valueMC(valueDate, stockPrice, discountCurve,
dividendYield, model, numPaths, seed,
accruedAverage)
end = time.time()
t_MC = end - start
start = time.time()
valueMC_fast = asianOption._valueMC_fast(valueDate, stockPrice,
discountCurve, dividendYield,
model, numPaths, seed,
accruedAverage)
end = time.time()
t_MC_fast = end - start
start = time.time()
valueMC_fast_CV = asianOption.valueMC(valueDate, stockPrice,
discountCurve, dividendYield,
model, numPaths, seed,
accruedAverage)
end = time.time()
t_MC_fast_CV = end - start
valuesMC.append(valueMC)
valuesMC_fast.append(valueMC_fast)
valuesMC_fast_CV.append(valueMC_fast_CV)
tvaluesMC.append(t_MC)
tvaluesMC_fast.append(t_MC_fast)
tvaluesMC_fast_CV.append(t_MC_fast_CV)
testCases.print(numPaths, valueMC, t_MC, valueMC_fast, t_MC_fast,
valueMC_fast_CV, t_MC_fast_CV)
def testTimeEvolution():
startAveragingDate = FinDate(2015, 1, 1)
expiryDate = FinDate(2016, 1, 1)
stockPrice = 100.0
volatility = 0.20
interestRate = 0.30
dividendYield = 0.10
numObservations = 100 # weekly as we have a year
accruedAverage = None
K = 100
seed = 1976
model = FinEquityModelBlackScholes(volatility)
asianOption = FinEquityAsianOption(startAveragingDate, expiryDate, K,
FinOptionTypes.EUROPEAN_CALL,
numObservations)
testCases.header("Date", "Geometric", "Turnbull_Wakeman", "Curran",
"FastMC", "FastMC_CV")
valuesTurnbull = []
valuesCurran = []
valuesGeometric = []
valuesMC_fast = []
valuesMC_CV = []
valueDates = []
valueDates.append(FinDate(2014, 4, 1))
valueDates.append(FinDate(2014, 6, 1))
valueDates.append(FinDate(2014, 8, 1))
valueDates.append(FinDate(2015, 2, 1))
valueDates.append(FinDate(2015, 4, 1))
valueDates.append(FinDate(2015, 6, 1))
valueDates.append(FinDate(2015, 8, 1))
numPaths = 10000
for valueDate in valueDates:
accruedAverage = stockPrice * 0.9
discountCurve = FinDiscountCurveFlat(valueDate, interestRate)
valueMC_fast = asianOption._valueMC_fast(valueDate, stockPrice,
discountCurve, dividendYield,
model, numPaths, seed,
accruedAverage)
valueMC_CV = asianOption.valueMC(valueDate, stockPrice, discountCurve,
dividendYield, model, numPaths, seed,
accruedAverage)
valueGeometric = asianOption.value(
valueDate, stockPrice, discountCurve, dividendYield, model,
FinAsianOptionValuationMethods.GEOMETRIC, accruedAverage)
valueTurnbullWakeman = asianOption.value(
valueDate, stockPrice, discountCurve, dividendYield, model,
FinAsianOptionValuationMethods.TURNBULL_WAKEMAN, accruedAverage)
valueCurran = asianOption.value(valueDate, stockPrice, discountCurve,
dividendYield, model,
FinAsianOptionValuationMethods.CURRAN,
accruedAverage)
valuesGeometric.append(valueGeometric)
valuesTurnbull.append(valueTurnbullWakeman)
valuesCurran.append(valueCurran)
valuesMC_fast.append(valueMC_fast)
valuesMC_CV.append(valueMC_CV)
testCases.print(str(valueDate), valueGeometric, valueTurnbullWakeman,
valueCurran, valueMC_fast, valueMC_CV)
def test_FinEquityCompoundOption():
valueDate = FinDate(1, 1, 2015)
expiryDate1 = FinDate(1, 1, 2017)
expiryDate2 = FinDate(1, 1, 2018)
k1 = 5.0
k2 = 95.0
stockPrice = 85.0
volatility = 0.15
interestRate = 0.035
dividendYield = 0.01
model = FinEquityModelBlackScholes(volatility)
discountCurve = FinDiscountCurveFlat(valueDate, interestRate)
optionType1 = FinOptionTypes.EUROPEAN_CALL
optionType2 = FinOptionTypes.EUROPEAN_PUT
numStepsList = [
200, 300, 400, 500, 600, 700, 800, 900, 1000, 2000, 3000, 4000, 5000
]
cmpdOption = FinEquityCompoundOption(expiryDate1, optionType1, k1,
expiryDate2, optionType2, k2)
stockPrice = 85.0
testCases.header("TYPE1", "TYPE2", "K1", "K2", "S", "Exact", "TreeSteps",
"TreeValue")
for numSteps in numStepsList:
value = cmpdOption.value(valueDate, stockPrice, discountCurve,
dividendYield, model)
values = cmpdOption._valueTree(valueDate, stockPrice, discountCurve,
dividendYield, model, numSteps)
testCases.print(optionType1, optionType2, k1, k2, stockPrice, value,
numSteps, values[0])
testCases.header("TYPE1", "TYPE2", "K1", "K2", "S", "Exact", "TreeSteps",
"TreeValue", "Diff", "DELTA", "GAMMA", "THETA")
for optionType1 in [
FinOptionTypes.EUROPEAN_CALL, FinOptionTypes.EUROPEAN_PUT
]:
for optionType2 in [
FinOptionTypes.EUROPEAN_CALL, FinOptionTypes.EUROPEAN_PUT
]:
cmpdOption = FinEquityCompoundOption(expiryDate1, optionType1, k1,
expiryDate2, optionType2, k2)
stockPrices = range(70, 100)
for stockPrice in stockPrices:
value = cmpdOption.value(valueDate, stockPrice, discountCurve,
dividendYield, model)
delta = cmpdOption.delta(valueDate, stockPrice, discountCurve,
dividendYield, model)
vega = cmpdOption.vega(valueDate, stockPrice, discountCurve,
dividendYield, model)
theta = cmpdOption.theta(valueDate, stockPrice, discountCurve,
dividendYield, model)
values = cmpdOption._valueTree(valueDate, stockPrice,
discountCurve, dividendYield,
model)
diff = value - values[0]
testCases.print(optionType1, optionType2, k1, k2, stockPrice,
value, numSteps, values[0], diff, delta, vega,
theta)
def test_FinEquityVanillaOption():
valueDate = FinDate(2015, 1, 1)
expiryDate = FinDate(2015, 7, 1)
stockPrice = 100
volatility = 0.30
interestRate = 0.05
dividendYield = 0.01
model = FinEquityModelBlackScholes(volatility)
discountCurve = FinDiscountCurveFlat(valueDate, interestRate)
numPathsList = [10000, 20000, 40000, 80000, 160000, 320000]
testCases.header("NUMPATHS", "VALUE_BS", "VALUE_MC", "TIME")
for numPaths in numPathsList:
callOption = FinEquityVanillaOption(expiryDate, 100.0,
FinOptionTypes.EUROPEAN_CALL)
value = callOption.value(valueDate, stockPrice, discountCurve,
dividendYield, model)
start = time.time()
valueMC = callOption.valueMC(valueDate, stockPrice, discountCurve,
dividendYield, model, numPaths)
end = time.time()
duration = end - start
testCases.print(numPaths, value, valueMC, duration)
###############################################################################
stockPrices = range(80, 120, 2)
numPaths = 100000
testCases.header("NUMPATHS", "VALUE_BS", "VALUE_MC", "TIME")
useSobol = True
for stockPrice in stockPrices:
callOption = FinEquityVanillaOption(expiryDate, 100.0,
FinOptionTypes.EUROPEAN_CALL)
value = callOption.value(valueDate, stockPrice, discountCurve,
dividendYield, model)
start = time.time()
useSobol = False
valueMC1 = callOption.valueMC(valueDate, stockPrice, discountCurve,
dividendYield, model, numPaths, useSobol)
useSobol = True
valueMC2 = callOption.valueMC(valueDate, stockPrice, discountCurve,
dividendYield, model, numPaths, useSobol)
end = time.time()
duration = end - start
testCases.print(numPaths, value, valueMC, duration)
###############################################################################
stockPrices = range(80, 120, 2)
numPaths = 100000
testCases.header("STOCK PRICE", "VALUE_BS", "VALUE_MC", "TIME")
for stockPrice in stockPrices:
putOption = FinEquityVanillaOption(expiryDate, 100.0,
FinOptionTypes.EUROPEAN_PUT)
value = putOption.value(valueDate, stockPrice, discountCurve,
dividendYield, model)
start = time.time()
valueMC = putOption.valueMC(valueDate, stockPrice, discountCurve,
dividendYield, model, numPaths)
end = time.time()
duration = end - start
testCases.print(stockPrice, value, valueMC, duration)
###############################################################################
stockPrices = range(80, 120, 2)
testCases.header("STOCK PRICE", "VALUE_BS", "DELTA_BS", "VEGA_BS",
"THETA_BS", "RHO_BS")
for stockPrice in stockPrices:
callOption = FinEquityVanillaOption(expiryDate, 100.0,
FinOptionTypes.EUROPEAN_CALL)
value = callOption.value(valueDate, stockPrice, discountCurve,
dividendYield, model)
delta = callOption.delta(valueDate, stockPrice, discountCurve,
dividendYield, model)
vega = callOption.vega(valueDate, stockPrice, discountCurve,
dividendYield, model)
theta = callOption.theta(valueDate, stockPrice, discountCurve,
dividendYield, model)
# callOption.rho(valueDate,stockPrice, interestRate, dividendYield, modelType, modelParams)
rho = 999
testCases.print(stockPrice, value, delta, vega, theta, rho)
testCases.header("STOCK PRICE", "VALUE_BS", "DELTA_BS", "VEGA_BS",
"THETA_BS", "RHO_BS")
for stockPrice in stockPrices:
putOption = FinEquityVanillaOption(expiryDate, 100.0,
FinOptionTypes.EUROPEAN_PUT)
value = putOption.value(valueDate, stockPrice, discountCurve,
dividendYield, model)
delta = putOption.delta(valueDate, stockPrice, discountCurve,
dividendYield, model)
vega = putOption.vega(valueDate, stockPrice, discountCurve,
dividendYield, model)
theta = putOption.theta(valueDate, stockPrice, discountCurve,
dividendYield, model)
# putOption.rho(valueDate,stockPrice, interestRate, dividendYield,
# modelType, modelParams)
rho = 999
testCases.print(stockPrice, value, delta, vega, theta, rho)
###############################################################################
testCases.header("STOCK PRICE", "VALUE_BS", "VOL_IN", "IMPLD_VOL")
stockPrices = range(60, 150, 2)
for stockPrice in stockPrices:
callOption = FinEquityVanillaOption(expiryDate, 100.0,
FinOptionTypes.EUROPEAN_CALL)
value = callOption.value(valueDate, stockPrice, discountCurve,
dividendYield, model)
impliedVol = callOption.impliedVolatility(valueDate, stockPrice,
discountCurve, dividendYield,
value)
testCases.print(stockPrice, value, volatility, impliedVol)
def test_FinEquityDigitalOption():
underlyingType = FinDigitalOptionTypes.CASH_OR_NOTHING
valueDate = FinDate(2015, 1, 1)
expiryDate = FinDate(2016, 1, 1)
stockPrice = 100.0
volatility = 0.30
interestRate = 0.05
dividendYield = 0.01
discountCurve = FinDiscountCurveFlat(valueDate, interestRate)
model = FinEquityModelBlackScholes(volatility)
import time
callOptionValues = []
callOptionValuesMC = []
numPathsList = [
10000, 20000, 40000, 80000, 160000, 320000, 640000, 1280000, 2560000
]
testCases.header("NumLoops", "ValueBS", "ValueMC", "TIME")
for numPaths in numPathsList:
callOption = FinEquityDigitalOption(expiryDate, 100.0,
FinOptionTypes.EUROPEAN_CALL,
underlyingType)
value = callOption.value(valueDate, stockPrice, discountCurve,
dividendYield, model)
start = time.time()
valueMC = callOption.valueMC(valueDate, stockPrice, discountCurve,
dividendYield, model, numPaths)
end = time.time()
duration = end - start
testCases.print(numPaths, value, valueMC, duration)
callOptionValues.append(value)
callOptionValuesMC.append(valueMC)
# plt.figure(figsize=(10,8))
# plt.plot(numPathsList, callOptionValues, color = 'b', label="Call Option")
# plt.plot(numPathsList, callOptionValuesMC, color = 'r', label = "Call Option MC")
# plt.xlabel("Num Loops")
# plt.legend(loc='best')
##########################################################################
stockPrices = range(50, 150, 50)
callOptionValues = []
callOptionDeltas = []
callOptionVegas = []
callOptionThetas = []
for stockPrice in stockPrices:
callOption = FinEquityDigitalOption(expiryDate, 100.0,
FinOptionTypes.EUROPEAN_CALL,
underlyingType)
value = callOption.value(valueDate, stockPrice, discountCurve,
dividendYield, model)
delta = callOption.delta(valueDate, stockPrice, discountCurve,
dividendYield, model)
vega = callOption.vega(valueDate, stockPrice, discountCurve,
dividendYield, model)
theta = callOption.theta(valueDate, stockPrice, discountCurve,
dividendYield, model)
callOptionValues.append(value)
callOptionDeltas.append(delta)
callOptionVegas.append(vega)
callOptionThetas.append(theta)
putOptionValues = []
putOptionDeltas = []
putOptionVegas = []
putOptionThetas = []
for stockPrice in stockPrices:
putOption = FinEquityDigitalOption(expiryDate, 100.0,
FinOptionTypes.EUROPEAN_PUT,
underlyingType)
value = putOption.value(valueDate, stockPrice, discountCurve,
dividendYield, model)
delta = putOption.delta(valueDate, stockPrice, discountCurve,
dividendYield, model)
vega = putOption.vega(valueDate, stockPrice, discountCurve,
dividendYield, model)
theta = putOption.theta(valueDate, stockPrice, discountCurve,
dividendYield, model)
putOptionValues.append(value)
putOptionDeltas.append(delta)
putOptionVegas.append(vega)
putOptionThetas.append(theta)
def test_FinEquityBarrierOption():
valueDate = FinDate(2015, 1, 1)
expiryDate = FinDate(2016, 1, 1)
stockPrice = 100.0
volatility = 0.20
interestRate = 0.05
dividendYield = 0.02
optionType = FinEquityBarrierTypes.DOWN_AND_OUT_CALL
drift = interestRate - dividendYield
scheme = FinGBMNumericalScheme.NORMAL
processType = FinProcessTypes.GBM
discountCurve = FinDiscountCurveFlat(valueDate, interestRate)
model = FinEquityModelBlackScholes(volatility)
#######################################################################
import time
start = time.time()
numObservationsPerYear = 100
testCases.header("Type", "K", "B", "S:", "Value:", "ValueMC", "Diff",
"TIME")
for optionType in FinEquityBarrierTypes:
for stockPrice in range(80, 120, 10):
B = 110.0
K = 100.0
option = FinEquityBarrierOption(expiryDate, K, optionType, B,
numObservationsPerYear)
value = option.value(valueDate, stockPrice, discountCurve,
dividendYield, model)
start = time.time()
modelParams = (stockPrice, drift, volatility, scheme)
valueMC = option.valueMC(valueDate, stockPrice, discountCurve,
processType, modelParams)
end = time.time()
timeElapsed = round(end - start, 3)
diff = valueMC - value
testCases.print(optionType, K, B, stockPrice, value, valueMC, diff,
timeElapsed)
for stockPrice in range(80, 120, 10):
B = 100.0
K = 110.0
option = FinEquityBarrierOption(expiryDate, K, optionType, B,
numObservationsPerYear)
value = option.value(valueDate, stockPrice, discountCurve,
dividendYield, model)
start = time.time()
modelParams = (stockPrice, drift, volatility, scheme)
valueMC = option.valueMC(valueDate, stockPrice, discountCurve,
processType, modelParams)
end = time.time()
timeElapsed = round(end - start, 3)
diff = valueMC - value
testCases.print(optionType, K, B, stockPrice, value, valueMC, diff,
timeElapsed)
end = time.time()
##########################################################################
stockPrices = range(50, 150, 50)
B = 105.0
testCases.header("Type", "K", "B", "S:", "Value", "Delta", "Vega", "Theta")
for optionType in FinEquityBarrierTypes:
for stockPrice in stockPrices:
barrierOption = FinEquityBarrierOption(expiryDate, 100.0,
optionType, B,
numObservationsPerYear)
value = barrierOption.value(valueDate, stockPrice, discountCurve,
dividendYield, model)
delta = barrierOption.delta(valueDate, stockPrice, discountCurve,
dividendYield, model)
vega = barrierOption.vega(valueDate, stockPrice, discountCurve,
dividendYield, model)
theta = barrierOption.theta(valueDate, stockPrice, discountCurve,
dividendYield, model)
testCases.print(optionType, K, B, stockPrice, value, delta, vega,
theta)
def test_FinBinomialTree():
stockPrice = 50.0
riskFreeRate = 0.06
dividendYield = 0.04
volatility = 0.40
valueDate = FinDate(2016, 1, 1)
expiryDate = FinDate(2017, 1, 1)
model = FinEquityModelBlackScholes(volatility)
discountCurve = FinDiscountCurveFlat(valueDate, riskFreeRate)
numStepsList = [100, 500, 1000, 2000, 5000]
strikePrice = 50.0
testCases.banner("================== EUROPEAN PUT =======================")
putOption = FinEquityVanillaOption(expiryDate, strikePrice,
FinOptionTypes.EUROPEAN_PUT)
value = putOption.value(valueDate, stockPrice, discountCurve,
dividendYield, model)
delta = putOption.delta(valueDate, stockPrice, discountCurve,
dividendYield, model)
gamma = putOption.gamma(valueDate, stockPrice, discountCurve,
dividendYield, model)
theta = putOption.theta(valueDate, stockPrice, discountCurve,
dividendYield, model)
testCases.header("BS Value", "BS Delta", "BS Gamma", "BS Theta")
testCases.print(value, delta, gamma, theta)
payoff = FinEquityTreePayoffTypes.VANILLA_OPTION
exercise = FinEquityTreeExerciseTypes.EUROPEAN
params = np.array([-1, strikePrice])
testCases.header("NumSteps", "Results", "TIME")
for numSteps in numStepsList:
start = time.time()
tree = FinEquityBinomialTree()
results = tree.value(stockPrice, discountCurve, dividendYield,
volatility, numSteps, valueDate, payoff,
expiryDate, payoff, exercise, params)
end = time.time()
duration = end - start
testCases.print(numSteps, results, duration)
testCases.banner("================== AMERICAN PUT =======================")
payoff = FinEquityTreePayoffTypes.VANILLA_OPTION
exercise = FinEquityTreeExerciseTypes.AMERICAN
params = np.array([-1, strikePrice])
testCases.header("NumSteps", "Results", "TIME")
for numSteps in numStepsList:
start = time.time()
tree = FinEquityBinomialTree()
results = tree.value(stockPrice, discountCurve, dividendYield,
volatility, numSteps, valueDate, payoff,
expiryDate, payoff, exercise, params)
end = time.time()
duration = end - start
testCases.print(numSteps, results, duration)
testCases.banner(
"================== EUROPEAN CALL =======================")
callOption = FinEquityVanillaOption(expiryDate, strikePrice,
FinOptionTypes.EUROPEAN_CALL)
value = callOption.value(valueDate, stockPrice, discountCurve,
dividendYield, model)
delta = callOption.delta(valueDate, stockPrice, discountCurve,
dividendYield, model)
gamma = callOption.gamma(valueDate, stockPrice, discountCurve,
dividendYield, model)
theta = callOption.theta(valueDate, stockPrice, discountCurve,
dividendYield, model)
testCases.header("BS Value", "BS Delta", "BS Gamma", "BS Theta")
testCases.print(value, delta, gamma, theta)
payoff = FinEquityTreePayoffTypes.VANILLA_OPTION
exercise = FinEquityTreeExerciseTypes.EUROPEAN
params = np.array([1.0, strikePrice])
testCases.header("NumSteps", "Results", "TIME")
for numSteps in numStepsList:
start = time.time()
tree = FinEquityBinomialTree()
results = tree.value(stockPrice, discountCurve, dividendYield,
volatility, numSteps, valueDate, payoff,
expiryDate, payoff, exercise, params)
end = time.time()
duration = end - start
testCases.print(numSteps, results, duration)
testCases.banner(
"================== AMERICAN CALL =======================")
payoff = FinEquityTreePayoffTypes.VANILLA_OPTION
exercise = FinEquityTreeExerciseTypes.AMERICAN
params = np.array([1.0, strikePrice])
testCases.header("NumSteps", "Results", "TIME")
for numSteps in numStepsList:
start = time.time()
tree = FinEquityBinomialTree()
results = tree.value(stockPrice, discountCurve, dividendYield,
volatility, numSteps, valueDate, payoff,
expiryDate, payoff, exercise, params)
end = time.time()
duration = end - start
testCases.print(numSteps, results, duration)
def test_FinEquityOneTouchOption():
# Examples Haug Page 180 Table 4-22
# Agreement not exact at t is not exactly 0.50
valueDate = FinDate(1, 1, 2016)
expiryDate = FinDate(2, 7, 2016)
interestRate = 0.10
discountCurve = FinDiscountCurveFlat(valueDate, interestRate)
volatility = 0.20
barrierLevel = 100.0 # H
model = FinEquityModelBlackScholes(volatility)
dividendYield = 0.03
numPaths = 10000
numStepsPerYear = 252
stockPrice = 105.0
paymentSize = 15.0
testCases.header("================================= CASH ONLY")
downTypes = [
FinTouchOptionPayoffTypes.DOWN_AND_IN_CASH_AT_HIT,
FinTouchOptionPayoffTypes.DOWN_AND_IN_CASH_AT_EXPIRY,
FinTouchOptionPayoffTypes.DOWN_AND_OUT_CASH_OR_NOTHING
]
testCases.header("TYPE", "VALUE", "VALUE_MC")
for downType in downTypes:
option = FinEquityOneTouchOption(expiryDate, downType, barrierLevel,
paymentSize)
v = option.value(valueDate, stockPrice, discountCurve, dividendYield,
model)
v_mc = option.valueMC(valueDate, stockPrice, discountCurve,
dividendYield, model, numStepsPerYear, numPaths)
testCases.print("%60s " % downType, "%9.5f" % v, "%9.5f" % v_mc)
stockPrice = 95.0
paymentSize = 15.0
upTypes = [
FinTouchOptionPayoffTypes.UP_AND_IN_CASH_AT_HIT,
FinTouchOptionPayoffTypes.UP_AND_IN_CASH_AT_EXPIRY,
FinTouchOptionPayoffTypes.UP_AND_OUT_CASH_OR_NOTHING
]
testCases.header("TYPE", "VALUE", "VALUE_MC")
for upType in upTypes:
option = FinEquityOneTouchOption(expiryDate, upType, barrierLevel,
paymentSize)
v = option.value(valueDate, stockPrice, discountCurve, dividendYield,
model)
v_mc = option.valueMC(valueDate, stockPrice, discountCurve,
dividendYield, model, numStepsPerYear, numPaths)
testCases.print("%60s " % upType, "%9.5f" % v, "%9.5f" % v_mc)
###########################################################################
stockPrice = 105.0
testCases.banner("================= ASSET ONLY")
downTypes = [
FinTouchOptionPayoffTypes.DOWN_AND_IN_ASSET_AT_HIT,
FinTouchOptionPayoffTypes.DOWN_AND_IN_ASSET_AT_EXPIRY,
FinTouchOptionPayoffTypes.DOWN_AND_OUT_ASSET_OR_NOTHING
]
testCases.header("TYPE", "VALUE", "VALUE_MC")
for downType in downTypes:
option = FinEquityOneTouchOption(expiryDate, downType, barrierLevel)
v = option.value(valueDate, stockPrice, discountCurve, dividendYield,
model)
v_mc = option.valueMC(valueDate, stockPrice, discountCurve,
dividendYield, model, numStepsPerYear, numPaths)
testCases.print("%60s " % downType, "%9.5f" % v, "%9.5f" % v_mc)
stockPrice = 95.0
upTypes = [
FinTouchOptionPayoffTypes.UP_AND_IN_ASSET_AT_HIT,
FinTouchOptionPayoffTypes.UP_AND_IN_ASSET_AT_EXPIRY,
FinTouchOptionPayoffTypes.UP_AND_OUT_ASSET_OR_NOTHING
]
for upType in upTypes:
option = FinEquityOneTouchOption(expiryDate, upType, barrierLevel)
v = option.value(valueDate, stockPrice, discountCurve, dividendYield,
model)
v_mc = option.valueMC(valueDate, stockPrice, discountCurve,
dividendYield, model, numStepsPerYear, numPaths)
testCases.print("%60s " % upType, "%9.5f" % v, "%9.5f" % v_mc)
def testFinEquityAmericanOption():
valueDate = FinDate(2016, 1, 1)
expiryDate = FinDate(2017, 1, 1)
stockPrice = 50.0
interestRate = 0.06
dividendYield = 0.04
volatility = 0.40
strikePrice = 50.0
model = FinEquityModelBlackScholes(volatility)
discountCurve = FinDiscountCurveFlat(valueDate, interestRate)
numStepsList = [100, 200, 500, 1000, 2000]
testCases.banner("================== EUROPEAN PUT =======================")
putOption = FinEquityAmericanOption(expiryDate, strikePrice,
FinOptionTypes.EUROPEAN_PUT)
value = putOption.value(valueDate, stockPrice, discountCurve,
dividendYield, model)
delta = putOption.delta(valueDate, stockPrice, discountCurve,
dividendYield, model)
gamma = putOption.gamma(valueDate, stockPrice, discountCurve,
dividendYield, model)
theta = putOption.theta(valueDate, stockPrice, discountCurve,
dividendYield, model)
testCases.header("OPTION_TYPE", "VALUE", "DELTA", "GAMMA", "THETA")
testCases.print("EUROPEAN_PUT_BS", value, delta, gamma, theta)
option = FinEquityAmericanOption(expiryDate, strikePrice,
FinOptionTypes.EUROPEAN_PUT)
testCases.header("OPTION_TYPE", "NUMSTEPS", "VALUE DELTA GAMMA THETA",
"TIME")
for numSteps in numStepsList:
model = FinEquityModelBlackScholes(volatility, numSteps, True)
start = time.time()
results = option.value(valueDate, stockPrice, discountCurve,
dividendYield, model)
end = time.time()
duration = end - start
testCases.print("EUROPEAN_PUT_TREE", numSteps, results, duration)
testCases.banner("================== AMERICAN PUT =======================")
option = FinEquityAmericanOption(expiryDate, strikePrice,
FinOptionTypes.AMERICAN_PUT)
testCases.header("OPTION_TYPE", "NUMSTEPS", "VALUE DELTA GAMMA THETA",
"TIME")
for numSteps in numStepsList:
model = FinEquityModelBlackScholes(volatility, numSteps)
start = time.time()
results = option.value(valueDate, stockPrice, discountCurve,
dividendYield, model)
end = time.time()
duration = end - start
testCases.print("AMERICAN_PUT", numSteps, results, duration)
testCases.banner(
"================== EUROPEAN CALL =======================")
callOption = FinEquityAmericanOption(expiryDate, strikePrice,
FinOptionTypes.EUROPEAN_CALL)
value = callOption.value(valueDate, stockPrice, discountCurve,
dividendYield, model)
delta = callOption.delta(valueDate, stockPrice, discountCurve,
dividendYield, model)
gamma = callOption.gamma(valueDate, stockPrice, discountCurve,
dividendYield, model)
theta = callOption.theta(valueDate, stockPrice, discountCurve,
dividendYield, model)
testCases.header("OPTION_TYPE", "VALUE", "DELTA", "GAMMA", "THETA")
testCases.print("EUROPEAN_CALL_BS", value, delta, gamma, theta)
option = FinEquityAmericanOption(expiryDate, strikePrice,
FinOptionTypes.EUROPEAN_CALL)
testCases.header("OPTION_TYPE", "NUMSTEPS", "VALUE DELTA GAMMA THETA",
"TIME")
for numSteps in numStepsList:
model = FinEquityModelBlackScholes(volatility, numSteps, True)
start = time.time()
results = option.value(valueDate, stockPrice, discountCurve,
dividendYield, model)
end = time.time()
duration = end - start
testCases.print("EUROPEAN_CALL_TREE", numSteps, results, duration)
testCases.banner(
"================== AMERICAN CALL =======================")
testCases.header("OPTION_TYPE", "NUMSTEPS", "VALUE DELTA GAMMA THETA",
"TIME")
option = FinEquityAmericanOption(expiryDate, strikePrice,
FinOptionTypes.AMERICAN_CALL)
for numSteps in numStepsList:
model = FinEquityModelBlackScholes(volatility, numSteps)
start = time.time()
results = option.value(valueDate, stockPrice, discountCurve,
dividendYield, model)
end = time.time()
duration = end - start
testCases.print("AMERICAN_CALL", numSteps, results, duration)
