def test_vega_theta():
# Example from Hull 4th edition page 284
valuation_date = Date(1, 1, 2015)
expiry_date = valuation_date.add_months(4)
spot_fx_rate = 1.60
volatility = 0.1411
dom_interest_rate = 0.08
forInterestRate = 0.11
model = BlackScholes(volatility)
dom_discount_curve = DiscountCurveFlat(valuation_date, dom_interest_rate)
for_discount_curve = DiscountCurveFlat(valuation_date, forInterestRate)
strike_fx_rate = 1.6
call_option = FXVanillaOption(expiry_date, strike_fx_rate, "EURUSD",
OptionTypes.EUROPEAN_CALL, 1000000, "USD")
vega = call_option.vega(valuation_date, spot_fx_rate, dom_discount_curve,
for_discount_curve, model)
assert round(vega, 4) == 0.3518
theta = call_option.theta(valuation_date, spot_fx_rate, dom_discount_curve,
for_discount_curve, model)
assert round(theta, 4) == -0.0504
def test_FinFXVanillaOptionHullExample():
# Example from Hull 4th edition page 284
valuation_date = Date(1, 1, 2015)
expiry_date = valuation_date.add_months(4)
spot_fx_rate = 1.60
volatility = 0.1411
dom_interest_rate = 0.08
forInterestRate = 0.11
model = BlackScholes(volatility)
dom_discount_curve = DiscountCurveFlat(valuation_date, dom_interest_rate)
for_discount_curve = DiscountCurveFlat(valuation_date, forInterestRate)
num_paths_list = [10000, 20000, 40000, 80000, 160000, 320000]
testCases.header("NUMPATHS", "VALUE_BS", "VALUE_MC")
strike_fx_rate = 1.60
for num_paths in num_paths_list:
call_option = FXVanillaOption(expiry_date, strike_fx_rate, "EURUSD",
OptionTypes.EUROPEAN_CALL, 1000000,
"USD")
value = call_option.value(valuation_date, spot_fx_rate,
dom_discount_curve, for_discount_curve,
model)
start = time.time()
value_mc = call_option.value_mc(valuation_date, spot_fx_rate,
dom_discount_curve, for_discount_curve,
model, num_paths)
end = time.time()
duration = end - start
testCases.print(num_paths, value, value_mc)
##########################################################################
spot_fx_rates = np.arange(100, 200, 10)
spot_fx_rates = spot_fx_rates / 100.0
num_paths = 100000
testCases.header("NUMPATHS", "CALL_VALUE_BS", "CALL_VALUE_MC")
for spot_fx_rate in spot_fx_rates:
call_option = FXVanillaOption(expiry_date, strike_fx_rate, "EURUSD",
OptionTypes.EUROPEAN_CALL, 1000000,
"USD")
value = call_option.value(valuation_date, spot_fx_rate,
dom_discount_curve, for_discount_curve,
model)
start = time.time()
value_mc = call_option.value_mc(valuation_date, spot_fx_rate,
dom_discount_curve, for_discount_curve,
model, num_paths)
end = time.time()
duration = end - start
testCases.print(num_paths, value, value_mc)
##########################################################################
spot_fx_rates = np.arange(100, 200, 10) / 100.0
num_paths = 100000
testCases.header("SPOT FX RATE", "PUT_VALUE_BS", "PUT_VALUE_MC")
for spot_fx_rate in spot_fx_rates:
put_option = FXVanillaOption(expiry_date, strike_fx_rate, "EURUSD",
OptionTypes.EUROPEAN_PUT, 1000000, "USD")
value = put_option.value(valuation_date, spot_fx_rate,
dom_discount_curve, for_discount_curve, model)
start = time.time()
value_mc = put_option.value_mc(valuation_date, spot_fx_rate,
dom_discount_curve, for_discount_curve,
model, num_paths)
end = time.time()
duration = end - start
testCases.print(spot_fx_rate, value, value_mc)
##########################################################################
spot_fx_rates = np.arange(100, 200, 10) / 100.0
testCases.header("SPOT FX RATE", "CALL_VALUE_BS", "DELTA_BS", "VEGA_BS",
"THETA_BS", "RHO_BS")
for spot_fx_rate in spot_fx_rates:
call_option = FXVanillaOption(expiry_date, strike_fx_rate, "EURUSD",
OptionTypes.EUROPEAN_CALL, 1000000,
"USD")
value = call_option.value(valuation_date, spot_fx_rate,
dom_discount_curve, for_discount_curve,
model)
delta = call_option.delta(valuation_date, spot_fx_rate,
dom_discount_curve, for_discount_curve,
model)
vega = call_option.vega(valuation_date, spot_fx_rate,
dom_discount_curve, for_discount_curve, model)
theta = call_option.theta(valuation_date, spot_fx_rate,
dom_discount_curve, for_discount_curve,
model)
# call_option.rho(valuation_date,stock_price, interest_rate,
# dividend_yield, modelType, model_params)
rho = 999
testCases.print(spot_fx_rate, value, delta, vega, theta, rho)
testCases.header("SPOT FX RATE", "PUT_VALUE_BS", "DELTA_BS", "VEGA_BS",
"THETA_BS", "RHO_BS")
for spot_fx_rate in spot_fx_rates:
put_option = FXVanillaOption(expiry_date, strike_fx_rate, "EURUSD",
OptionTypes.EUROPEAN_PUT, 1000000, "USD")
value = put_option.value(valuation_date, spot_fx_rate,
dom_discount_curve, for_discount_curve, model)
delta = put_option.delta(valuation_date, spot_fx_rate,
dom_discount_curve, for_discount_curve, model)
vega = put_option.vega(valuation_date, spot_fx_rate,
dom_discount_curve, for_discount_curve, model)
theta = put_option.theta(valuation_date, spot_fx_rate,
dom_discount_curve, for_discount_curve, model)
# put_option.rho(valuation_date,stock_price, interest_rate, dividend_yield,
# modelType, model_params)
rho = 999
testCases.print(spot_fx_rate, value, delta, vega, theta, rho)
##########################################################################
testCases.header("SPOT FX RATE", "VALUE_BS", "VOL_IN", "IMPLD_VOL")
spot_fx_rates = np.arange(100, 200, 10) / 100.0
for spot_fx_rate in spot_fx_rates:
call_option = FXVanillaOption(expiry_date, strike_fx_rate, "EURUSD",
OptionTypes.EUROPEAN_CALL, 1000000,
"USD")
value = call_option.value(valuation_date, spot_fx_rate,
dom_discount_curve, for_discount_curve,
model)['v']
impliedVol = call_option.implied_volatility(valuation_date,
spot_fx_rate,
dom_discount_curve,
for_discount_curve, value)
testCases.print(spot_fx_rate, value, volatility, impliedVol)