def _test_analytical_theta(self):
while self.tdi.has_next():
row = self.tdi.next_row()
S,K,t,r,sigma = row['S'],row['K'],row['t'],row['R'],row['v']
#self.assertTrue(
# almost_equal(
print analytical.theta('c', S, K, t, r, sigma), row['CT']#, epsilon=.001
# )
#)
#self.assertTrue(
# almost_equal(
print analytical.theta('p', S, K, t, r, sigma), row['PT'] #, epsilon=.000001
def _test_analytical_theta(self):
while self.tdi.has_next():
row = self.tdi.next_row()
S, K, t, r, sigma = row['S'], row['K'], row['t'], row['R'], row[
'v']
#self.assertTrue(
# almost_equal(
print(analytical.theta('c', S, K, t, r, sigma),
row['CT']) #, epsilon=.001
# )
#)
#self.assertTrue(
# almost_equal(
print(analytical.theta('p', S, K, t, r, sigma),
row['PT']) #, epsilon=.000001
def implied_vol_calc(exp, fut, option):
global rate
iv_fun = lambda x: implied_volatility(x['SETTLE_PR'], fut, x[
'STRIKE_PR'], exp, 0.1, 'c' if x.OPTION_TYP == 'CE' else 'p') * 100
#vollib.black_scholes.greeks.numerical.delta(flag, S, K, t, r, sigma)
option['VOLATILITY'] = option.apply(iv_fun, axis=1)
delta_fun = lambda x: delta(('c' if x.OPTION_TYP == 'CE' else 'p'), fut, x[
'STRIKE_PR'], exp, 0.1, x.VOLATILITY / 100)
gamma_fun = lambda x: gamma(('c' if x.OPTION_TYP == 'CE' else 'p'), fut, x[
'STRIKE_PR'], exp, 0.1, x.VOLATILITY / 100)
vega_fun = lambda x: vega(('c' if x.OPTION_TYP == 'CE' else 'p'), fut, x[
'STRIKE_PR'], exp, 0.1, x.VOLATILITY / 100)
theta_fun = lambda x: theta(('c' if x.OPTION_TYP == 'CE' else 'p'), fut, x[
'STRIKE_PR'], exp, 0.1, x.VOLATILITY / 100)
rho_fun = lambda x: rho(('c' if x.OPTION_TYP == 'CE' else 'p'), fut, x[
'STRIKE_PR'], exp, 0.1, x.VOLATILITY / 100)
option['DELTA'] = option.apply(delta_fun, axis=1)
option['GAMMA'] = option.apply(gamma_fun, axis=1)
option['VEGA'] = option.apply(vega_fun, axis=1)
option['THETA'] = option.apply(theta_fun, axis=1)
option['RHO'] = option.apply(rho_fun, axis=1)
#Remove option with delta <0.05 for calls and delta >-0.05 for puts
option = option[(option.DELTA > 0.05) | (option.DELTA < -0.05)]
#Remove where no contracts are being traded
option = option[option.CONTRACTS != 0]
option['FUT'] = fut
return option
def calc_iv_greeks(self):
'''(price, S, K, t, r, flag
(flag, S, K, t, r, sigma)'''
global r
self.vol=implied_volatility(self.price,self.underlying,self.strike,self.timedelta,r,self.flag)
self.delta=delta(self.flag,self.underlying,self.strike,self.timedelta,r,self.vol)
self.gamma=gamma(self.flag,self.underlying,self.strike,self.timedelta,r,self.vol)
self.vega=vega(self.flag,self.underlying,self.strike,self.timedelta,r,self.vol)
self.theta=theta(self.flag,self.underlying,self.strike,self.timedelta,r,self.vol)
def test_theta(self):
S = 100.0
for flag in ['c','p']:
for K in numpy.linspace(20,200,10):
for r in numpy.linspace(0,0.2,10):
for sigma in numpy.linspace(0.1,0.5,10):
for t in numpy.linspace(0.01,2,10):
for i in range(5):
val1 = theta(flag, S, K, t, r, sigma)
val2 = ntheta(flag, S, K, t, r, sigma)
results_match = abs(val1-val2)<epsilon_for_theta
if not results_match:
print 'theta mismatch:', flag, val1, val2
self.assertTrue(results_match)
def test_theta(self):
S = 100.0
for flag in ['c','p']:
for K in numpy.linspace(20,200,10):
for r in numpy.linspace(0,0.2,10):
for sigma in numpy.linspace(0.1,0.5,10):
for t in numpy.linspace(0.01,2,10):
for i in range(5):
val1 = theta(flag, S, K, t, r, sigma)
val2 = ntheta(flag, S, K, t, r, sigma)
results_match = abs(val1-val2)<epsilon_for_theta
if not results_match:
print 'theta mismatch:', flag, val1, val2
self.assertTrue(results_match)
def implied_vol_calc(exp,fut,option):
global rate
iv_fun=lambda x:implied_volatility(x['SETTLE_PR'],fut,x['STRIKE_PR'],exp,0.1,'c' if x.OPTION_TYP=='CE' else 'p')*100
#vollib.black_scholes.greeks.numerical.delta(flag, S, K, t, r, sigma)
option['VOLATILITY']=option.apply(iv_fun,axis=1)
delta_fun=lambda x:delta(('c' if x.OPTION_TYP=='CE' else 'p'),fut,x['STRIKE_PR'],exp,0.1,x.VOLATILITY/100)
gamma_fun=lambda x:gamma(('c' if x.OPTION_TYP=='CE' else 'p'),fut,x['STRIKE_PR'],exp,0.1,x.VOLATILITY/100)
vega_fun=lambda x:vega(('c' if x.OPTION_TYP=='CE' else 'p'),fut,x['STRIKE_PR'],exp,0.1,x.VOLATILITY/100)
theta_fun=lambda x:theta(('c' if x.OPTION_TYP=='CE' else 'p'),fut,x['STRIKE_PR'],exp,0.1,x.VOLATILITY/100)
rho_fun=lambda x:rho(('c' if x.OPTION_TYP=='CE' else 'p'),fut,x['STRIKE_PR'],exp,0.1,x.VOLATILITY/100)
option['DELTA']=option.apply(delta_fun,axis=1)
option['GAMMA']=option.apply(gamma_fun,axis=1)
option['VEGA']=option.apply(vega_fun,axis=1)
option['THETA']=option.apply(theta_fun,axis=1)
option['RHO']=option.apply(rho_fun,axis=1)
#Remove option with delta <0.05 for calls and delta >-0.05 for puts
option=option[(option.DELTA>0.05) | (option.DELTA<-0.05)]
#Remove where no contracts are being traded
option=option[option.CONTRACTS!=0]
option['FUT']=fut
return option
data = json.load(f)
else:
sys.exit('ERROR: given input file does not exist')
# Iterate json entries and calculate greeks using Black-Scholes
for entry in data:
last_price = entry['last_price']
K = entry['strike']
S = config.underlying_price # underlying_price
session_date = datetime.strptime(config.session_date, "%d%m%Y").date()
opt_date = datetime.strptime(entry['expiration_date'],
"%d/%m/%Y").date()
t = (opt_date -
session_date).days / 365. # time to expiration (in years)
r = config.risk_free_rate
flag = entry['right'].lower()
sigma = iv.implied_volatility(last_price, S, K, t, r, flag)
print(sigma, last_price, S, K, t, r, flag)
sigma = 0 if sigma < 1e-10 else sigma
entry['iv'] = sigma
entry['delta'] = gk.delta(flag, S, K, t, r, sigma)
entry['gamma'] = gk.gamma(flag, S, K, t, r, sigma)
entry['theta'] = gk.theta(flag, S, K, t, r, sigma) * 365
entry['vega'] = gk.vega(flag, S, K, t, r, sigma)
# Remove existing json file and save the new one with the greeks
#os.remove(config.input_json) TODO
os.remove('test2.json') #TODO
with open('test2.json', 'w') as f:
json.dump(data, f, indent=4)
help='[Required] Option expiration date. Required format: ddmmyyyy')
parser.add_argument('-r', '--risk_free_rate', type=float, required=True,
help='[Required] Risk free rate. Example: 0.01')
parser.add_argument('-p', '--option_price', type=float, required=True,
help='[Required] Current option price')
parser.add_argument('-ri', '--right', type=str, required=True,
help='[Required] Option right (C for call, P for Put)')
config = parser.parse_args()
last_price = config.option_price
K = config.strike
S = config.underlying_price # underlying_price
opt_date = datetime.strptime(config.expiration_date, "%d%m%Y").date()
t = (opt_date - date.today()).days / 365. # time to expiration (in years)
r = config.risk_free_rate
flag = config.right.lower()
if flag != 'c' and flag != 'p':
print('ERROR: flag shall be \'C\' or \'P\'')
else:
sigma = iv.implied_volatility(last_price, S, K, t, r, flag)
delta = gk.delta(flag, S, K, t, r, sigma)
gamma = gk.gamma(flag, S, K, t, r, sigma)
theta = gk.theta(flag, S, K, t, r, sigma)
vega = gk.vega(flag, S, K, t, r, sigma)
print('Delta: ' + str(delta))
print('Gamma: ' + str(gamma))
print('Theta: ' + str(theta) + ' --> (annual): ' + str(theta * 365))
print('Vega: ' + str(vega))
print('IV: ' + str(sigma))
