def setUp(self):
""""""
self.today = today()
self.settings = Settings()
self.settings.evaluation_date = self.today
self.dc = Actual365Fixed()
self.spot = SimpleQuote(0.0)
self.q_rate = SimpleQuote(0.0)
self.q_ts = FlatForward(self.today, self.q_rate, self.dc)
self.r_rate = SimpleQuote(0.0)
self.r_ts = FlatForward(self.today, self.r_rate, self.dc)
self.values = {
'type': SwapType.Long,
'strike': 0.04,
'nominal': 50000,
's': 100.0,
'q': 0.00,
'r': 0.05,
't': 0.246575,
'v': 0.20,
'result': 0.04189,
'tol': 1.0e-4,
}
self.spot.value = self.values['s']
self.q_rate.value = self.values['q']
self.r_rate.value = self.values['r']
self.ex_date = self.today + int(self.values['t'] * 365 + 0.5)
def setUp(self):
self.settings = Settings()
self.calendar = TARGET()
self.todays_date = Date(15, May, 1998)
self.settlement_date = Date(17, May, 1998)
self.settings.evaluation_date = self.todays_date
# options parameters
self.option_type = Put
self.underlying = 36
self.strike = 40
self.dividend_yield = 0.00
self.risk_free_rate = 0.06
self.volatility = 0.20
self.maturity = Date(17, May, 1999)
self.daycounter = Actual365Fixed()
self.underlyingH = SimpleQuote(self.underlying)
# bootstrap the yield/dividend/vol curves
self.flat_term_structure = FlatForward(
reference_date=self.settlement_date,
forward=self.risk_free_rate,
daycounter=self.daycounter)
self.flat_dividend_ts = FlatForward(
reference_date=self.settlement_date,
forward=self.dividend_yield,
daycounter=self.daycounter)
self.flat_vol_ts = BlackConstantVol(self.settlement_date,
self.calendar, self.volatility,
self.daycounter)
self.black_scholes_merton_process = BlackScholesMertonProcess(
self.underlyingH, self.flat_dividend_ts, self.flat_term_structure,
self.flat_vol_ts)
self.payoff = PlainVanillaPayoff(self.option_type, self.strike)
#Additional parameters for testing DividendVanillaOption
self.dividend_dates = []
self.dividends = []
self.american_time_steps = 600
self.american_grid_points = 600
#Parameters for implied volatility:
self.accuracy = 0.001
self.max_evaluations = 1000
self.min_vol = 0.001
self.max_vol = 4
self.target_price = 4.485992
def setUp(self):
self.settings = Settings()
self.calendar = TARGET()
self.todays_date = Date(15, May, 1998)
self.settlement_date = Date(17, May, 1998)
self.settings.evaluation_date = self.todays_date
# options parameters
self.option_type = Put
self.underlying = 36
self.strike = 40
self.dividend_yield = 0.00
self.risk_free_rate = 0.06
self.volatility = 0.20
self.maturity = Date(17, May, 1999)
self.daycounter = Actual365Fixed()
self.underlyingH = SimpleQuote(self.underlying)
# bootstrap the yield/dividend/vol curves
self.flat_term_structure = FlatForward(
reference_date = self.settlement_date,
forward = self.risk_free_rate,
daycounter = self.daycounter
)
self.flat_dividend_ts = FlatForward(
reference_date = self.settlement_date,
forward = self.dividend_yield,
daycounter = self.daycounter
)
self.flat_vol_ts = BlackConstantVol(
self.settlement_date,
self.calendar,
self.volatility,
self.daycounter
)
self.black_scholes_merton_process = BlackScholesMertonProcess(
self.underlyingH,
self.flat_dividend_ts,
self.flat_term_structure,
self.flat_vol_ts
)
self.payoff = PlainVanillaPayoff(self.option_type, self.strike)
def flat_rate(forward, daycounter):
return FlatForward(
forward=SimpleQuote(forward),
settlement_days=0,
calendar=NullCalendar(),
daycounter=daycounter
)
def setUp(self):
Settings().evaluation_date = Date(27, 4, 2018)
self.yc = FlatForward(forward=0.03, settlement_days=2,
daycounter=Actual365Fixed(),
calendar=UnitedStates())
self.index = UsdLiborSwapIsdaFixAm(Period(10, Years), self.yc)
self.factory = (MakeSwaption(self.index, Period(2, Years), strike=0.0206).
with_underlying_type(Receiver).
with_settlement_type(Cash).
with_settlement_method(ParYieldCurve))
def test_hull_white_calibration(self):
"""
Adapted from ShortRateModelTest::testCachedHullWhite()
"""
today = Date(15, February, 2002)
settlement = Date(19, February, 2002)
self.settings.evaluation_date = today
yield_ts = FlatForward(settlement,
forward=0.04875825,
settlement_days=0,
calendar=NullCalendar(),
daycounter=Actual365Fixed())
model = HullWhite(yield_ts, a=0.05, sigma=.005)
data = [[1, 5, 0.1148 ],
[2, 4, 0.1108 ],
[3, 3, 0.1070 ],
[4, 2, 0.1021 ],
[5, 1, 0.1000 ]]
index = Euribor6M(yield_ts)
engine = JamshidianSwaptionEngine(model)
swaptions = []
for start, length, volatility in data:
vol = SimpleQuote(volatility)
helper = SwaptionHelper(Period(start, Years),
Period(length, Years),
vol,
index,
Period(1, Years), Thirty360(),
Actual360(), yield_ts)
helper.set_pricing_engine(engine)
swaptions.append(helper)
# Set up the optimization problem
om = LevenbergMarquardt(1.0e-8, 1.0e-8, 1.0e-8)
endCriteria = EndCriteria(10000, 100, 1e-6, 1e-8, 1e-8)
model.calibrate(swaptions, om, endCriteria)
print('Hull White calibrated parameters:\na: %f sigma: %f' %
(model.a, model.sigma))
cached_a = 0.0464041
cached_sigma = 0.00579912
tolerance = 1.0e-5
self.assertAlmostEqual(cached_a, model.a, delta=tolerance)
self.assertAlmostEqual(cached_sigma, model.sigma, delta=tolerance)
def flat_rate(today, forward, daycounter):
return FlatForward(reference_date=today,
forward=SimpleQuote(forward),
daycounter=daycounter)
def test_DAX_calibration(self):
# this example is taken from A. Sepp
# Pricing European-Style Options under Jump Diffusion Processes
# with Stochstic Volatility: Applications of Fourier Transform
# http://math.ut.ee/~spartak/papers/stochjumpvols.pdf
settlement_date = Date(5, July, 2002)
self.settings.evaluation_date = settlement_date
daycounter = Actual365Fixed()
calendar = TARGET()
t = [13, 41, 75, 165, 256, 345, 524, 703]
r = [0.0357,0.0349,0.0341,0.0355,0.0359,0.0368,0.0386,0.0401]
dates = [settlement_date] + [settlement_date + val for val in t]
rates = [0.0357] + r
risk_free_ts = ZeroCurve(dates, rates, daycounter)
dividend_ts = FlatForward(
settlement_date, forward=0.0, daycounter=daycounter
)
v = [
0.6625,0.4875,0.4204,0.3667,0.3431,0.3267,0.3121,0.3121,
0.6007,0.4543,0.3967,0.3511,0.3279,0.3154,0.2984,0.2921,
0.5084,0.4221,0.3718,0.3327,0.3155,0.3027,0.2919,0.2889,
0.4541,0.3869,0.3492,0.3149,0.2963,0.2926,0.2819,0.2800,
0.4060,0.3607,0.3330,0.2999,0.2887,0.2811,0.2751,0.2775,
0.3726,0.3396,0.3108,0.2781,0.2788,0.2722,0.2661,0.2686,
0.3550,0.3277,0.3012,0.2781,0.2781,0.2661,0.2661,0.2681,
0.3428,0.3209,0.2958,0.2740,0.2688,0.2627,0.2580,0.2620,
0.3302,0.3062,0.2799,0.2631,0.2573,0.2533,0.2504,0.2544,
0.3343,0.2959,0.2705,0.2540,0.2504,0.2464,0.2448,0.2462,
0.3460,0.2845,0.2624,0.2463,0.2425,0.2385,0.2373,0.2422,
0.3857,0.2860,0.2578,0.2399,0.2357,0.2327,0.2312,0.2351,
0.3976,0.2860,0.2607,0.2356,0.2297,0.2268,0.2241,0.2320
]
s0 = SimpleQuote(4468.17)
strikes = [
3400, 3600, 3800, 4000, 4200, 4400, 4500, 4600, 4800, 5000, 5200,
5400, 5600
]
options = []
for s, strike in enumerate(strikes):
for m in range(len(t)):
vol = SimpleQuote(v[s * 8 + m])
# round to weeks
maturity = Period((int)((t[m] + 3) / 7.), Weeks)
options.append(
HestonModelHelper(
maturity, calendar, s0.value, strike, vol,
risk_free_ts, dividend_ts,
ImpliedVolError
)
)
v0 = 0.1
kappa = 1.0
theta = 0.1
sigma = 0.5
rho = -0.5
process = HestonProcess(
risk_free_ts, dividend_ts, s0, v0, kappa, theta, sigma, rho
)
model = HestonModel(process)
engine = AnalyticHestonEngine(model, 64)
for option in options:
option.set_pricing_engine(engine)
om = LevenbergMarquardt(1e-8, 1e-8, 1e-8)
model.calibrate(
options, om, EndCriteria(400, 40, 1.0e-8, 1.0e-8, 1.0e-8)
)
sse = 0
for i in range(len(strikes) * len(t)):
diff = options[i].calibration_error() * 100.0
sse += diff * diff
expected = 177.2 # see article by A. Sepp.
self.assertAlmostEqual(expected, sse, delta=1.0)
from quantlib.termstructures.volatility.equityfx.local_vol_surface import LocalVolSurface
dc = Actual365Fixed()
calendar = UnitedStates()
calculation_date = Date(6, 11, 2015)
spot = 659.37
Settings.instance().evaluation_date = calculation_date
dividend_yield = SimpleQuote(0.0)
risk_free_rate = 0.01
dividend_rate = 0.0
# bootstrap the yield/dividend/vol curves
flat_term_structure = FlatForward(reference_date=calculation_date,
forward=risk_free_rate,
daycounter=dc)
flat_dividend_ts = FlatForward(reference_date=calculation_date,
forward=dividend_yield,
daycounter=dc)
dates = [
Date(6, 12, 2015),
Date(6, 1, 2016),
Date(6, 2, 2016),
Date(6, 3, 2016),
Date(6, 4, 2016),
Date(6, 5, 2016),
Date(6, 6, 2016),
Date(6, 7, 2016),