def implied_vol(CallPutFlag, price, underlying, strike, time_to_expiry,
interest):
if CallPutFlag == 1:
return iv.implied_volatility(price, underlying, strike, time_to_expiry,
interest, 'c')
else:
return iv.implied_volatility(price, underlying, strike, time_to_expiry,
interest, 'p')
def test_implied_volatility(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']
C,P = black_scholes('c', S, K, t, r, sigma), black_scholes('p', S, K, t, r, sigma)
try:
iv = implied_volatility(C, S, K, t, r, 'c')
self.assertTrue(almost_equal(sigma, iv, epsilon = .0001))
except:
print 'could not calculate iv for ', C, S, K, t, r, 'c'
iv = implied_volatility(P, S, K, t, r, 'p')
self.assertTrue(almost_equal(sigma, iv, epsilon = .001) or (iv ==0.0))
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 test_implied_volatility(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']
C, P = black_scholes('c', S, K, t, r,
sigma), black_scholes('p', S, K, t, r, sigma)
try:
iv = implied_volatility(C, S, K, t, r, 'c')
self.assertTrue(almost_equal(sigma, iv, epsilon=.0001))
except:
print('could not calculate iv for ', C, S, K, t, r, 'c')
iv = implied_volatility(P, S, K, t, r, 'p')
self.assertTrue(
almost_equal(sigma, iv, epsilon=.001) or (iv == 0.0))
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 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)
