def plainvanilla(today, s, k, r, q, matDate, vol, flag):
ql.Settings.instance().evaluationDate = ql.Date(today.day, today.month,
today.year)
riskFreeRate = ql.FlatForward(today, r, ql.Actual365Fixed())
# option parameters
exercise = ql.EuropeanExercise(matDate)
if (flag.lower() == "c" or flag.lower() == "call"):
optionType = ql.Option.Call
else:
optionType = ql.Option.Put
payoff = ql.PlainVanillaPayoff(optionType, k)
underlying = ql.SimpleQuote(s)
volatility = ql.BlackConstantVol(today, ql.SouthKorea(), vol,
ql.Actual365Fixed())
dividendYield = ql.FlatForward(today, q, ql.Actual365Fixed())
process = ql.BlackScholesMertonProcess(
ql.QuoteHandle(underlying), ql.YieldTermStructureHandle(dividendYield),
ql.YieldTermStructureHandle(riskFreeRate),
ql.BlackVolTermStructureHandle(volatility))
option = ql.VanillaOption(payoff, exercise)
# method: analytic
option.setPricingEngine(ql.AnalyticEuropeanEngine(process))
res = {
"npv": option.NPV(),
"delta": option.delta() * 0.01 * s,
"gamma": option.gamma() * ((0.01 * s)**2),
"theta": option.theta()
}
return res
def bondOptionDetails(self):
# calculate expiryTime, (coupon) startTims, payTimes, cashFlows, strike and
# c/p flag as inputs to Hull White analytic formula
details = {}
details['callOrPut'] = 1.0 if self.underlyingSwap.payerOrReceiver==ql.VanillaSwap.Receiver else -1.0
details['strike'] = 0.0
refDate = self.underlyingSwap.discHandle.referenceDate()
details['expiryTime'] = ql.Actual365Fixed().yearFraction(refDate,self.exercise.dates()[0])
fixedLeg = [ [ ql.Actual365Fixed().yearFraction(refDate,cf.date()), cf.amount() ]
for cf in self.underlyingSwap.swap.fixedLeg() ]
details['fixedLeg'] = np.array(fixedLeg)
floatLeg = [ [ ql.Actual365Fixed().yearFraction(refDate,ql.as_coupon(cf).accrualStartDate()),
((1 + ql.as_coupon(cf).accrualPeriod()*ql.as_coupon(cf).rate()) *
self.underlyingSwap.discHandle.discount(ql.as_coupon(cf).accrualEndDate()) /
self.underlyingSwap.discHandle.discount(ql.as_coupon(cf).accrualStartDate()) - 1.0) *
ql.as_coupon(cf).nominal()
]
for cf in self.underlyingSwap.swap.floatingLeg() ]
details['floatLeg'] = np.array(floatLeg)
payTimes = [ floatLeg[0][0] ] + \
[ cf[0] for cf in floatLeg ] + \
[ cf[0] for cf in fixedLeg ] + \
[ ql.Actual365Fixed().yearFraction(refDate,ql.as_coupon(
self.underlyingSwap.swap.floatingLeg()[-1]).accrualEndDate()) ]
caschflows = [ -ql.as_coupon(self.underlyingSwap.swap.floatingLeg()[0]).nominal() ] + \
[ -cf[1] for cf in floatLeg ] + \
[ cf[1] for cf in fixedLeg ] + \
[ ql.as_coupon(self.underlyingSwap.swap.floatingLeg()[0]).nominal() ]
details['payTimes' ] = np.array(payTimes)
details['cashFlows'] = np.array(caschflows)
return details
def makeSwaption(self,
vol,
volType=ql.ShiftedLognormal,
delivery=ql.Settlement.Physical,
settlementMethod=ql.Settlement.PhysicalOTC,
shift=0.02,
swapRebuild=True):
if swapRebuild:
self.makeSwap(self.optionTenor, self.swapTenor, self.fairRate)
self.volHandle = ql.QuoteHandle(ql.SimpleQuote(vol))
self.payerSwaption = ql.Swaption(
self.payerSwap, ql.EuropeanExercise(self.exerciseDate), delivery,
settlementMethod)
self.receiverSwaption = ql.Swaption(
self.receiverSwap, ql.EuropeanExercise(self.exerciseDate),
delivery, settlementMethod)
if volType == ql.ShiftedLognormal:
swaptionEngine = ql.BlackSwaptionEngine(
self.discountTermStructure,
ql.QuoteHandle(ql.SimpleQuote(vol)), ql.Actual365Fixed(),
shift)
elif volType == ql.Normal:
swaptionEngine = ql.BachelierSwaptionEngine(
self.discountTermStructure,
ql.QuoteHandle(ql.SimpleQuote(vol)), ql.Actual365Fixed())
self.payerSwaption.setPricingEngine(swaptionEngine)
self.receiverSwaption.setPricingEngine(swaptionEngine)
def ql_irr(cash_flow, first_amount, first_date):
""" Calculate the IRR from a given cash flow
:param cash_flow: list
List of QuantLib.SimpleCashFlow (s)
:param first_amount: Int
The Amount of the first cash flow
:param first_date: Date-Like
The date of the first cash flow
:return: float
"""
ql.Settings.instance().evaluationDate = to_ql_date(first_date)
try:
fixed_rate = ql.CashFlows.yieldRate(cash_flow, float(first_amount),
ql.Actual365Fixed(), ql.Compounded,
ql.Annual, False, ql.Date(),
ql.Date(), 1.0e-6, 1000, 0.05)
except RuntimeError:
try:
fixed_rate = ql.CashFlows.yieldRate(cash_flow, float(first_amount),
ql.Actual365Fixed(),
ql.Compounded,
ql.Annual, False, ql.Date(),
ql.Date(), 1.0e-6, 1000, -0.1)
except RuntimeError:
fixed_rate = ql.CashFlows.yieldRate(cash_flow, float(first_amount),
ql.Actual365Fixed(),
ql.Compounded,
ql.Annual, False, ql.Date(),
ql.Date(), 1.0e-6, 1000, -0.5)
return fixed_rate
def setUp(self):
self.calendar = ql.TARGET()
self.today = self.calendar.adjust(ql.Date.todaysDate())
ql.Settings.instance().evaluationDate = self.today
projection_curve_handle = ql.RelinkableYieldTermStructureHandle()
self.projection_rate = 0.01
self.projection_quote_handle = ql.RelinkableQuoteHandle()
projection_curve = ql.FlatForward(
self.today, self.projection_quote_handle, ql.Actual365Fixed())
projection_curve_handle.linkTo(projection_curve)
self.discount_handle = ql.YieldTermStructureHandle(ql.FlatForward(
self.today, ql.QuoteHandle(ql.SimpleQuote(0.0085)), ql.Actual365Fixed()))
self.swap_engine = ql.DiscountingSwapEngine(self.discount_handle)
self.idx = ql.Euribor6M(projection_curve_handle)
self.exercises = [ql.Period(1, ql.Years), ql.Period(2, ql.Years),
ql.Period(3, ql.Years), ql.Period(5, ql.Years),
ql.Period(7, ql.Years), ql.Period(10, ql.Years)]
self.lengths = [ql.Period(1, ql.Years), ql.Period(2, ql.Years),
ql.Period(3, ql.Years), ql.Period(5, ql.Years),
ql.Period(7, ql.Years), ql.Period(10, ql.Years),
ql.Period(15, ql.Years), ql.Period(20, ql.Years)]
self.swap_type = [ql.VanillaSwap.Receiver, ql.VanillaSwap.Payer]
def setUp(self):
# we set up a QuantLib VanillaSwap as basic test object
today = ql.Date(5,ql.October,2020)
ql.Settings.instance().evaluationDate = today
# we need curves for the float leg
discYtsH = ql.YieldTermStructureHandle(
ql.FlatForward(today,0.01,ql.Actual365Fixed()))
projYtsH = ql.YieldTermStructureHandle(
ql.FlatForward(today,0.02,ql.Actual365Fixed()))
index = ql.Euribor6M(projYtsH)
# we set start in the future to avoid the need of index fixings
startDate = ql.Date(12,ql.October,2020)
endDate = ql.Date(12,ql.October,2030)
calendar = ql.TARGET()
fixedTenor = ql.Period('1y')
floatTenor = ql.Period('6m')
fixedSchedule = ql.MakeSchedule(startDate,endDate,tenor=fixedTenor,calendar=calendar)
floatSchedule = ql.MakeSchedule(startDate,endDate,tenor=floatTenor,calendar=calendar)
swapType = ql.VanillaSwap.Payer
vanillaSwap = ql.VanillaSwap(ql.VanillaSwap.Receiver,1.0,fixedSchedule,0.025,ql.Thirty360(),floatSchedule,index,0.0050,ql.Actual360())
# we have all the incredients to price the swap - but not really needed for payoffs
engine = ql.DiscountingSwapEngine(discYtsH)
vanillaSwap.setPricingEngine(engine)
# It is easier to work with legs instead of Swap intruments
self.legs = [vanillaSwap.fixedLeg(), vanillaSwap.floatingLeg()]
self.pors = [1.0, -1.0] if swapType==ql.VanillaSwap.Receiver else [-1.0, 1.0]
self.discYtsH = discYtsH
def swaptionDetails(self):
# calculate times and cash flows as input to (cash-settled) swaption valuation
details = {}
details[
'callOrPut'] = 1.0 if self.underlyingSwap.payerOrReceiver == ql.VanillaSwap.Receiver else -1.0
details['strikeRate'] = self.underlyingSwap.fixedRate
details['notional'] = self.underlyingSwap.notional
refDate = self.underlyingSwap.discHandle.referenceDate()
details['expiryTime'] = ql.Actual365Fixed().yearFraction(
refDate,
self.exercise.dates()[0])
annuityLeg = [[
ql.Actual365Fixed().yearFraction(refDate, cf.date()),
ql.as_coupon(cf).accrualPeriod()
] for cf in self.underlyingSwap.swap.fixedLeg()]
details['annuityLeg'] = np.array(annuityLeg)
floatLeg = [[
ql.Actual365Fixed().yearFraction(
refDate,
ql.as_coupon(cf).accrualStartDate()),
((1 + ql.as_coupon(cf).accrualPeriod() * ql.as_coupon(cf).rate()) *
self.underlyingSwap.discHandle.discount(
ql.as_coupon(cf).accrualEndDate()) /
self.underlyingSwap.discHandle.discount(
ql.as_coupon(cf).accrualStartDate()) - 1.0)
] for cf in self.underlyingSwap.swap.floatingLeg()]
floatLeg = floatLeg + [[ floatLeg[0][0], 1.0 ]] + \
[[ ql.Actual365Fixed().yearFraction(refDate,ql.as_coupon(
self.underlyingSwap.swap.floatingLeg()[-1]).accrualEndDate()), -1.0 ]]
details['floatLeg'] = np.array(floatLeg)
return details
def setUp(self):
self.todaysDate = ql.Date(5, ql.September, 2017)
ql.Settings.instance().evaluationDate = self.todaysDate
self.spotDate = ql.Date(7, ql.September, 2017)
self.domestic_rate = ql.FlatForward(self.spotDate, 0.017,
ql.Actual365Fixed())
self.foreign_rate = ql.FlatForward(self.spotDate, 0.013,
ql.Actual365Fixed())
def npvRaw(self):
# calculate npv manually using Bachelier formula
# use this to cross-check npv calculation via QuantLib engine
refDate = self.underlyingSwap.discHandle.referenceDate()
T = ql.Actual365Fixed().yearFraction(refDate,self.exercise.dates()[0])
CallOrPutOnS = 1.0 if self.underlyingSwap.payerOrReceiver==ql.VanillaSwap.Payer else -1.0
return self.annuity() * Bachelier(self.underlyingSwap.fixedRate,self.fairRate(),self.normalVolatility,T,CallOrPutOnS)
def testOrnsteinUhlenbeckVsBachelier(self):
"""Testing Fdm Ornstein-Uhlenbeck pricing"""
todaysDate = ql.Date(15, ql.January, 2020)
ql.Settings.instance().evaluationDate = todaysDate
dc = ql.Actual365Fixed()
rTS = ql.FlatForward(todaysDate, 0.06, dc)
strike = 110.0
payoff = ql.PlainVanillaPayoff(ql.Option.Put, strike)
maturityDate = todaysDate + ql.Period(2, ql.Years)
exercise = ql.EuropeanExercise(maturityDate)
option = ql.VanillaOption(payoff, exercise)
x0 = 100
sigma = 20.0
speed = 5
pdeEngine = ql.FdOrnsteinUhlenbeckVanillaEngine(
ql.OrnsteinUhlenbeckProcess(speed, sigma, x0, x0), rTS, 50)
option.setPricingEngine(pdeEngine)
calculated = option.NPV()
stdev = math.sqrt(sigma * sigma / (2 * speed))
expected = ql.bachelierBlackFormula(ql.Option.Put, strike, x0, stdev,
rTS.discount(maturityDate))
self.assertAlmostEqual(calculated, expected, 2)
def jpy_3m_example():
calendar = objects.get('JAPAN')
start = ql.Date(15, 3, 2020)
maturity = ql.Date(15, 6, 2020)
fixedSchedule = ql.MakeSchedule(start,
maturity,
ql.Period('3M'),
calendar=calendar)
floatSchedule = ql.MakeSchedule(start,
maturity,
ql.Period('3M'),
calendar=calendar)
jpy_3m_crv = curves.get('JPY.3M')
jpy_3m_yts = ql.YieldTermStructureHandle(jpy_3m_crv)
jpy_libor_3m = objects.get('JPY.3M').clone(jpy_3m_yts)
jpy_yts = ql.YieldTermStructureHandle(curves.get('JPY.OIS'))
engine = ql.DiscountingSwapEngine(jpy_yts)
swap = ql.VanillaSwap(ql.VanillaSwap.Receiver, 1e9, fixedSchedule,
-0.15 / 100, ql.Actual365Fixed(), floatSchedule,
jpy_libor_3m, 0, ql.Actual360())
swap.setPricingEngine(engine)
print(f"Swap NPV : {swap.NPV():,.2f}")
print(f"Swap Rate : {swap.fairRate() * 100:,.6f}")
def vega(self):
refDate = self.underlyingSwap.discHandle.referenceDate()
T = ql.Actual365Fixed().yearFraction(refDate, self.exercise.dates()[0])
return (self.annuity() *
BachelierVega(self.underlyingSwap.fixedRate, self.fairRate(),
self.normalVolatility, T) * 1.0e-4
) # 1bp scaling
def testBSMRNDCalculator(self):
"""Testing Black-Scholes risk neutral density calculator"""
dc = ql.Actual365Fixed()
todaysDate = ql.Date(15, ql.January, 2020)
r = 0.0
q = 0.0
vol = 0.2
s0 = 100
process = ql.BlackScholesMertonProcess(
ql.QuoteHandle(ql.SimpleQuote(s0)),
ql.YieldTermStructureHandle(ql.FlatForward(todaysDate, q, dc)),
ql.YieldTermStructureHandle(ql.FlatForward(todaysDate, r, dc)),
ql.BlackVolTermStructureHandle(
ql.BlackConstantVol(todaysDate, ql.TARGET(), vol, dc)))
rnd = ql.BSMRNDCalculator(process)
t = 1.2
x = math.log(80.0)
mu = math.log(s0) + (r - q - 0.5 * vol * vol) * t
calculated = rnd.pdf(x, t)
stdev = vol * math.sqrt(t)
expected = (1.0 / (math.sqrt(2 * math.pi) * stdev) *
math.exp(-0.5 * math.pow((x - mu) / stdev, 2.0)))
self.assertAlmostEqual(calculated, expected, 8)
def __init__(
self,
forward_rate: float,
atm_forward_volatility: float,
beta: float,
nu: float,
rho: float,
reference_date: ql.Date,
maturity_date: ql.Date,
shift: float = 0.0,
day_counter: ql.DayCounter = ql.Actual365Fixed()
) -> None:
self.shift = shift
if self.shift < 0.0:
raise ValueError('Shift must be non-negative')
self.shifted_forward_rate = forward_rate + self.shift
if self.shifted_forward_rate < 0.0:
raise ValueError('Shifted forward rate cannot be negative')
self.atm_forward_volatility = atm_forward_volatility
self.reference_date = reference_date
self.maturity_date = maturity_date
self.day_counter = day_counter
self.time_to_maturity = self.compute_time_to_maturity()
self.beta = beta
self.nu = nu
self.rho = rho
self.alpha = self.update_alpha()
def set_values(self,request_form):
spot_rate = float(request_form['spotprice'])
strike_rate = float(request_form['strikeprice'])
domestic_interest_rate = float(request_form['domesticInterestrate'])
foreign_interest_rate = float(request_form['foreignInterestrate'])
volatility = float(request_form['volatility'])
expiration_date = ql.Date(int(request_form['expirationdate'][8:10]),int(request_form['expirationdate'][5:7]),int(request_form['expirationdate'][0:4]))
start_date = ql.Date(int(request_form['startdate'][8:10]),int(request_form['startdate'][5:7]),int(request_form['startdate'][0:4]))
settlement_date = start_date
days = ql.Actual365Fixed()
calendar = ql.Japan()
frequency = ql.Annual
ql.Settings.instance().evaluationDate = start_date
if(request_form['callput'] == 'call'):
option_type = ql.Option.Call
else:
option_type = ql.Option.Put
compounding = ql.Compounded
payoff = ql.PlainVanillaPayoff(option_type, strike_rate)
eu_exercise = ql.EuropeanExercise(expiration_date)
european_option = ql.VanillaOption(payoff, eu_exercise)
spot_handle = ql.QuoteHandle(ql.SimpleQuote(spot_rate))
rTS = ql.YieldTermStructureHandle(ql.FlatForward(settlement_date,domestic_interest_rate, days,compounding, frequency))
fTS = ql.YieldTermStructureHandle(ql.FlatForward(settlement_date,foreign_interest_rate, days,compounding, frequency))
flat_vol_ts = ql.BlackVolTermStructureHandle(ql.BlackConstantVol(settlement_date, calendar, volatility, days))
garman_kohlagen_process = ql.GarmanKohlagenProcess(spot_handle, fTS, rTS, flat_vol_ts)
engine = ql.AnalyticEuropeanEngine(garman_kohlagen_process)
european_option.setPricingEngine(engine);
return float(european_option.NPV()),float(european_option.delta())
def setUp(self):
ql.Settings.instance().evaluationDate = ql.Date(26, 5, 2021)
self.basis_point = 1.0e-4
self.settlement_days = 2
self.business_day_convention = ql.Following
self.calendar = ql.TARGET()
self.day_count = ql.Actual365Fixed()
self.end_of_month = False
base_ccy_idx_handle = ql.YieldTermStructureHandle(flat_rate(0.007))
quoted_ccy_idx_handle = ql.YieldTermStructureHandle(flat_rate(0.015))
self.base_ccy_idx = ql.Euribor3M(base_ccy_idx_handle)
self.quote_ccy_idx = ql.USDLibor(
ql.Period(3, ql.Months), quoted_ccy_idx_handle)
self.collateral_ccy_handle = ql.YieldTermStructureHandle(
flat_rate(0.009))
# Cross currency basis swaps data source:
# N. Moreni, A. Pallavicini (2015)
# FX Modelling in Collateralized Markets: foreign measures, basis curves
# and pricing formulae.
# section 4.2.1, Table 2.
self.cross_currency_basis_quotes = ((ql.Period(1, ql.Years), -14.5),
(ql.Period(18, ql.Months), -18.5),
(ql.Period(2, ql.Years), -20.5),
(ql.Period(3, ql.Years), -23.75),
(ql.Period(4, ql.Years), -25.5),
(ql.Period(5, ql.Years), -26.5),
(ql.Period(7, ql.Years), -26.75),
(ql.Period(10, ql.Years), -26.25),
(ql.Period(15, ql.Years), -24.75),
(ql.Period(20, ql.Years), -23.25),
(ql.Period(30, ql.Years), -20.50))
def build_nominal_term_structure(
reference_date,
nominal_data):
nominal_dc = ql.Actual365Fixed()
dates = [CAL.advance(reference_date, x[0]) for x in nominal_data]
rates = [x[1] for x in nominal_data]
return ql.ZeroCurve(dates, rates, nominal_dc)
def getQLZeroCurve(self):
#dates1=[ql.Date(i.serialNumber()) for i in dates]
#zeros1=deepcopy(zeros)
x1 = [i.serialNumber() for i in self.tenordates]
y1 = self.zerorates
x2 = [i.serialNumber() for i in self.basecurve.tenordates]
y2 = self.basecurve.zerorates
datesS = x1 + list(set(x2) - set(x1)) # get all unique dates
datesS.sort()
dates1 = []
for i in range(0, len(datesS)):
dates1.append(ql.Date(datesS[i]))
if self.nullbeforefirstpillar:
zeros1 = np.interp(datesS, x1, y1, left=0.0, right=y1[-1]) \
+ np.interp(datesS, x2, y2, left=y2[0], right=y2[-1])
else:
zeros1 = np.interp(datesS, x1, y1, left=y1[0], right=y1[-1]) \
+ np.interp(datesS, x2, y2, left=y2[0], right=y2[-1])
dates1.insert(0, self.valuationdate)
zeros1 = zeros1.tolist()
zeros1.insert(0, zeros1[0])
calendar = ql.WeekendsOnly()
dates1.append(calendar.advance(dates1[-1], 1, ql.Years))
zeros1.append(zeros1[-1])
# to do change us holiday?
return ql.ZeroCurve(dates1, zeros1, ql.Actual365Fixed(),
ql.UnitedStates(), ql.Linear(), ql.Continuous)
def binomialmodels(stockprice, strikeprice, volatility, intrate, calcdate,
expdate, divrate, opttype, modelname, steps):
day_count = ql.Actual365Fixed()
calendar = ql.UnitedStates()
calculation_date = ql.Date(calcdate.day, calcdate.month, calcdate.year)
if opttype == "p":
option_type = ql.Option.Put
else:
option_type = ql.Option.Call
exp_date = ql.Date(expdate.day, expdate.month, expdate.year)
ql.Settings.instance().evaluationDate = calculation_date
payoff = ql.PlainVanillaPayoff(option_type, strikeprice)
exercise = ql.AmericanExercise(calculation_date, exp_date)
american_option = ql.VanillaOption(payoff, exercise)
spot_handle = ql.QuoteHandle(ql.SimpleQuote(stockprice))
flat_ts = ql.YieldTermStructureHandle(
ql.FlatForward(calculation_date, intrate, day_count))
dividend_yield = ql.YieldTermStructureHandle(
ql.FlatForward(calculation_date, divrate, day_count))
flat_vol_ts = ql.BlackVolTermStructureHandle(
ql.BlackConstantVol(calculation_date, calendar, volatility, day_count))
bsm_process = ql.BlackScholesMertonProcess(spot_handle, dividend_yield,
flat_ts, flat_vol_ts)
binomial_engine = ql.BinomialVanillaEngine(bsm_process, modelname, steps)
american_option.setPricingEngine(binomial_engine)
return american_option.NPV()
def __call__(self, date, csv_path, yts_handle_ois):
yts_handle = ql.RelinkableYieldTermStructureHandle()
cv_df = pd.read_csv(csv_path, index_col='Term')
cv = cv_df.drop(
columns=['Shift', 'Shifted Rate', 'Zero Rate', 'Discount'])
cv['Market Rate'] = cv_df['Market Rate'] * 0.01
helpers = ql.RateHelperVector()
index_libor = ql.USDLibor(ql.Period('3m'), yts_handle)
simple_quote = []
for term, data in cv.iterrows():
term = term.replace(' ', '')
if term == '3MO':
simple_quote.append(ql.SimpleQuote(float(data['Market Rate'])))
helpers.append(
ql.DepositRateHelper(ql.QuoteHandle(simple_quote[-1]),
index_libor))
elif term[:2] == 'ED':
simple_quote.append(
ql.SimpleQuote((1.0 - float(data['Market Rate'])) * 100))
helpers.append(
ql.FuturesRateHelper(ql.QuoteHandle(simple_quote[-1]),
ql.IMM.date(term[-2:]), index_libor))
elif term[-2:] == 'YR':
simple_quote.append(ql.SimpleQuote(float(data['Market Rate'])))
swapIndex = ql.UsdLiborSwapIsdaFixAm(
ql.Period(term.replace('YR', 'y')))
helpers.append(
ql.SwapRateHelper(ql.QuoteHandle(simple_quote[-1]),
swapIndex, ql.QuoteHandle(), ql.Period(),
yts_handle_ois))
return ql.PiecewiseLogLinearDiscount(date, helpers,
ql.Actual365Fixed())
def setUp(self):
self.today = ql.Date(21, ql.April, 2019)
self.dc = ql.Actual365Fixed()
ql.Settings.instance().evaluationDate = self.today
self.domesticTS = ql.FlatForward(self.today, 0.025, self.dc)
self.foreignTS = ql.FlatForward(self.today, 0.075, self.dc)
self.fxVolTS = ql.BlackConstantVol(self.today, ql.TARGET(), 0.15, self.dc)
self.quantoHelper = ql.FdmQuantoHelper(
self.domesticTS, self.foreignTS, self.fxVolTS, -0.75, 1.0)
self.divYieldTS = ql.FlatForward(self.today, 0.03, self.dc)
divDate = ql.DateVector()
divDate.push_back(self.today + ql.Period(6, ql.Months))
divAmount = ql.DoubleVector()
divAmount.push_back(8.0)
maturityDate = self.today + ql.Period(9, ql.Months)
self.option = ql.DividendVanillaOption(
ql.PlainVanillaPayoff(ql.Option.Call, 105),
ql.AmericanExercise(self.today, maturityDate),
divDate,
divAmount)
def day_count_fraction(self, dcf):
"""
day_count_fraction takes a string that is used in the
conventions DataFrame, and returns the QuantLib-equivalent
day-count object. This function takes all day-counters that are
currently allowed in QuantLib.
Currently, the function takes the following strings:
Act360, Act365Fixed, ActAct, Bus252, 30360
Args:
dcf (str): day count fraction string
Returns:
object: QuantLib day-count-fraction object
"""
if dcf == 'Act360':
return qlib.Actual360()
elif dcf == 'Act365Fixed':
return qlib.Actual365Fixed()
elif dcf == 'ActAct':
return qlib.ActualActual()
elif dcf == 'Bus252':
return qlib.Business252()
elif dcf == '30360':
return qlib.Thirty360()
def testPdeSolver(self):
""" Testing BENCHOP-SLV SABR example value """
today = ql.Date(8, 1, 2019)
dc = ql.Actual365Fixed()
maturityDate = today + ql.Period(10 * 365, ql.Days)
maturityTime = dc.yearFraction(today, maturityDate)
f0 = 0.07
alpha = 0.4
nu = 0.8
beta = 0.5
rho = -0.6
strike = f0 * math.exp(-0.1 * math.sqrt(maturityTime))
rTS = ql.YieldTermStructureHandle(ql.FlatForward(today, 0.0, dc))
# see https://ir.cwi.nl/pub/28249
expected = 0.052450313614407
option = ql.VanillaOption(
ql.PlainVanillaPayoff(ql.Option.Call, strike),
ql.EuropeanExercise(maturityDate))
option.setPricingEngine(
ql.FdSabrVanillaEngine(f0, alpha, beta, nu, rho, rTS, 30, 800, 30,
1, 0.8))
calculated = option.NPV()
self.assertAlmostEqual(
calculated,
expected,
4,
msg="Unable to reproduce Le Floc'h-Kennedy SABR volalatility")
def testHagenFormula(self):
""" Testing Hagen et al. formula """
today = ql.Date(9, 1, 2019)
dc = ql.Actual365Fixed()
maturityDate = today + ql.Period(6, ql.Months)
maturityTime = dc.yearFraction(today, maturityDate)
alpha = 0.35
beta = 0.85
nu = 0.75
rho = 0.85
f0 = 100.0
strike = 110.0
sabrVol = ql.sabrVolatility(strike, f0, maturityTime, alpha, beta, nu,
rho)
self.assertAlmostEqual(
sabrVol,
0.205953,
6,
msg="Unable to reproduce Hagen et al. SABR volalatility")
flochKennedyVol = ql.sabrFlochKennedyVolatility(
strike, f0, maturityTime, alpha, beta, nu, rho)
self.assertAlmostEqual(
flochKennedyVol,
0.205447,
6,
msg="Unable to reproduce Le Floc'h-Kennedy SABR volalatility")
def call_price_exact(kappa, theta, beta, rho, v0, r, T, s0, K):
strike_price = 110.0
payoff = ql.PlainVanillaPayoff(ql.Option.Call, strike_price)
# option data
calculation_date = ql.Date(15, 1, 2011)
maturity_date = ql.Date(15, 1, 2011 + T)
spot_price = s0
strike_price = K
dividend_rate = 0.00
option_type = ql.Option.Call
risk_free_rate = r
day_count = ql.Actual365Fixed()
ql.Settings.instance().evaluationDate = calculation_date
# construct the Heston process
payoff = ql.PlainVanillaPayoff(option_type, strike_price)
exercise = ql.EuropeanExercise(maturity_date)
european_option = ql.VanillaOption(payoff, exercise)
sigma = beta
spot_handle = ql.QuoteHandle(ql.SimpleQuote(spot_price))
flat_ts = ql.YieldTermStructureHandle(
ql.FlatForward(calculation_date, risk_free_rate, day_count))
dividend_yield = ql.YieldTermStructureHandle(
ql.FlatForward(calculation_date, dividend_rate, day_count))
heston_process = ql.HestonProcess(flat_ts, dividend_yield, spot_handle, v0,
kappa, theta, sigma, rho)
engine = ql.AnalyticHestonEngine(ql.HestonModel(heston_process), 0.0000001,
100000)
european_option.setPricingEngine(engine)
h_price = european_option.NPV()
return h_price
def set_up_option(maturity_date, spot_price, strike_price, volatility,
risk_free_rate, calculation_date):
# assume no dividend
dividend_rate = 0.0
option_type = ql.Option.Call
day_count = ql.Actual365Fixed()
calendar = ql.UnitedStates()
ql.Settings.instance().evaluationDate = calculation_date
# construct the European Option
payoff = ql.PlainVanillaPayoff(option_type, strike_price)
exercise = ql.EuropeanExercise(maturity_date)
european_option = ql.VanillaOption(payoff, exercise)
spot_handle = ql.QuoteHandle(ql.SimpleQuote(spot_price))
flat_ts = ql.YieldTermStructureHandle(
ql.FlatForward(calculation_date, risk_free_rate, day_count))
dividend_yield = ql.YieldTermStructureHandle(
ql.FlatForward(calculation_date, dividend_rate, day_count))
flat_vol_ts = ql.BlackVolTermStructureHandle(
ql.BlackConstantVol(calculation_date, calendar, volatility, day_count))
bsm_process = ql.BlackScholesMertonProcess(spot_handle, dividend_yield,
flat_ts, flat_vol_ts)
bsm_process.option = european_option
return bsm_process
def to_ql_day_counter(arg):
"""Converts a string with day_counter name to the corresponding QuantLib object.
Parameters
----------
arg: str
Returns
-------
QuantLib.DayCounter
"""
if arg.upper() == "THIRTY360E":
return ql.Thirty360(ql.Thirty360.European)
elif arg.upper() == "THIRTY360":
return ql.Thirty360()
elif arg.upper() == "ACTUAL360":
return ql.Actual360()
elif arg.upper() == "ACTUAL365":
return ql.Actual365Fixed()
elif arg.upper() == "ACTUALACTUAL":
return ql.ActualActual(ql.ActualActual.ISMA)
elif arg.upper() == "ACTUALACTUALISMA":
return ql.ActualActual(ql.ActualActual.ISMA)
elif arg.upper() == "ACTUALACTUALISDA":
return ql.ActualActual(ql.ActualActual.ISDA)
elif arg.upper() == "BUSINESS252":
return ql.Business252()
else:
raise ValueError(
"Unable to convert {} to a QuantLib day counter".format(arg))
def get_vanilla_option_price_sabr(self,
strike,
maturity_period,
use_noarbsabr=False,
option_type=ql.Option.Call):
self.option = self.vanilla_option_helper(strike, maturity_period,
option_type)
maturity = ql.Actual365Fixed().yearFraction(
self.base_date,
self.calendar.advance(self.base_date, maturity_period))
if use_noarbsabr:
sabr_vol = ql.sabrFlochKennedyVolatility(
strike, self.handles['initS'].value(), maturity,
self.handles['alpha'].value(), self.handles['beta'].value(),
self.handles['nu'].value(), self.handles['rho'].value())
else:
sabr_vol = ql.sabrVolatility(strike, self.handles['initS'].value(),
maturity,
self.handles['alpha'].value(),
self.handles['beta'].value(),
self.handles['nu'].value(),
self.handles['rho'].value())
npv = ql.blackFormula(
option_type, strike, self.handles['initS'].value(),
sabr_vol * sqrt(maturity),
exp(-self.handles['risk_free_rate'].value() * maturity))
return npv
def __init__(self,
tradeDate=FLAGS.TODAY,
maturity_date=FLAGS.MATURITY,
spot_price=FLAGS.SPOT,
process_parameters={
'drift': FLAGS.BS_DRIFT,
'sigma': FLAGS.BS_SIGMA
},
n_paths=FLAGS.SMALL_SAMPLE):
"""__init__.
:param tradeDate:
:param maturity_date:
:param spot_price:
:param process_parameters:
:param n_paths:
"""
self.tradeDate = tradeDate
self.maturity_date = maturity_date
self.spot_price = spot_price
self.process_parameters = process_parameters
self.n_paths = n_paths
self.dates = scheduler(self.tradeDate, self.maturity_date)
self._check()
day_count = ql.Actual365Fixed()
self.maturity = day_count.yearFraction(self.tradeDate,
self.maturity_date)
def get_shanghai_repo_1m(date):
calc_date = str_date_2_ql_date(date)
ql.Settings.instance().evaluationDate = calc_date
calendar = ql.China()
bussiness_convention = ql.Following
dayCount = ql.Actual365Fixed()
end_of_month = False
# 设置回购的基本信息
w.start()
# 获取上交所1d，2d，7d，14d，28d回购的数据，只取一个月期限内流动性好的品种
repo_maturities = [
ql.Period(1, ql.Days),
ql.Period(2, ql.Days),
ql.Period(7, ql.Days),
ql.Period(14, ql.Days),
ql.Period(28, ql.Days)
]
repo_rates = w.wss(
"204001.SH,204002.SH,204003.SH,204004.SH,204007.SH,204014.SH,204028.SH,204091.SH",
"close", "tradeDate=20190121;priceAdj=U;cycle=D").Data[0]
repo_rate_helpers = []
for i, repo_maturity in enumerate(repo_maturities):
repo_rate_helpers.append(
ql.DepositRateHelper(
ql.QuoteHandle(ql.SimpleQuote(repo_rates[i] / 100.0)),
repo_maturity, 0, calendar, bussiness_convention, end_of_month,
dayCount))
return repo_rate_helpers