def MCUpAndOutPrice():
barrier = 108.
payoff = VanillaCall(Strike=Strike)
#look at times
look_at_times = list(np.linspace(start=0, stop=Expiry, num=12))
option_parameters = {'payoff': payoff,
'look_at_times':look_at_times,
'Expiry':Expiry,
'Barrier': barrier}
ao = UpAndOutCall(option_parameters)
market_params = {'spot':Spot, 'rate':rate, 'vol':Vol}
path_generator = GeneratorGBM(market_params)
path_generator.generator.set_seed(seed=0)
gatherer = SDGatherer()
pricer_parameters = {'path_generator':path_generator,
'num_paths': num_paths,
'gatherer': gatherer}
pd_pricer = PathDependentMCPricer(pricer_parameters)
price = pd_pricer.do_trade(ao)
print "MC UpAndOut opt price ", price
def test_UpAndOut_pricer(self):
"""
test that path dependent pricer works for up and out option
with discrete barrier data
"""
num_paths = 500000
#Construct option
barrier = 108.
payoff = VanillaCall(Strike=self.Strike)
#look at times
look_at_times = list(np.linspace(start=0, stop=self.Expiry, num=12))
option_parameters = {
'payoff': payoff,
'look_at_times': look_at_times,
'Expiry': self.Expiry,
'Barrier': barrier
}
ao = UpAndOutCall(option_parameters)
#Construct market parameters for path generation
market_params = {'spot': self.Spot, 'rate': self.rate, 'vol': self.Vol}
path_generator = GeneratorGBM(market_params)
#Construct Pricer parameters
#Note includes path generator
gatherer = SDGatherer()
pricer_parameters = {
'path_generator': path_generator,
'num_paths': num_paths,
'gatherer': gatherer
}
#Contruct pricer
pd_pricer = PathDependentMCPricer(pricer_parameters)
#Do trade
price = pd_pricer.do_trade(ao)
print "MC up and out call price ", price
self.assertAlmostEqual(first=0.2096, second=price,
places=2) #, msg, delta)
def test_UpAndOut_pricer(self):
"""
test that path dependent pricer works for up and out option
with discrete barrier data
"""
num_paths = 500000
#Construct option
barrier = 108.
payoff = VanillaCall(Strike=self.Strike)
#look at times
look_at_times = list(np.linspace(start=0, stop=self.Expiry, num=12))
option_parameters = {'payoff': payoff,
'look_at_times':look_at_times,
'Expiry':self.Expiry,
'Barrier': barrier}
ao = UpAndOutCall(option_parameters)
#Construct market parameters for path generation
market_params = {'spot':self.Spot, 'rate':self.rate, 'vol':self.Vol}
path_generator = GeneratorGBM(market_params)
#Construct Pricer parameters
#Note includes path generator
gatherer = SDGatherer()
pricer_parameters = {'path_generator':path_generator,
'num_paths': num_paths,
'gatherer': gatherer}
#Contruct pricer
pd_pricer = PathDependentMCPricer(pricer_parameters)
#Do trade
price = pd_pricer.do_trade(ao)
print "MC up and out call price ", price
self.assertAlmostEqual( first = 0.2096, second= price, places=2)#, msg, delta)
def test_AsianArithmetic_pricer(self):
"""
test that asian arithmetic option pricer works
"""
num_paths = 500000
payoff = VanillaCall(Strike=self.Strike)
#look at times
look_at_times = list(np.linspace(start=0, stop=self.Expiry, num=12))
#Contruct Option
option_parameters = {
'payoff': payoff,
'look_at_times': look_at_times,
'Expiry': self.Expiry
}
ao = AsianArithmeticOption(option_parameters)
#Construct market parameters for path generation
market_params = {'spot': self.Spot, 'rate': self.rate, 'vol': self.Vol}
path_generator = GeneratorGBM(market_params)
#Construct Pricer parameters
#Note includes path generator
gatherer = SDGatherer()
pricer_parameters = {
'path_generator': path_generator,
'num_paths': num_paths,
'gatherer': gatherer
}
#Contruct pricer
pd_pricer = PathDependentMCPricer(pricer_parameters)
#Do trade
price = pd_pricer.do_trade(ao)
print "MC Asian opt price ", price
self.assertAlmostEqual(first=2.015, second=price,
places=2) #, msg, delta)
def test_AsianArithmetic_pricer(self):
"""
test that asian arithmetic option pricer works
"""
num_paths = 500000
payoff = VanillaCall(Strike=self.Strike)
#look at times
look_at_times = list(np.linspace(start=0, stop=self.Expiry, num=12))
#Contruct Option
option_parameters = {'payoff': payoff,
'look_at_times':look_at_times,
'Expiry':self.Expiry}
ao = AsianArithmeticOption(option_parameters)
#Construct market parameters for path generation
market_params = {'spot':self.Spot, 'rate':self.rate, 'vol':self.Vol}
path_generator = GeneratorGBM(market_params)
#Construct Pricer parameters
#Note includes path generator
gatherer = SDGatherer()
pricer_parameters = {'path_generator':path_generator,
'num_paths': num_paths,
'gatherer': gatherer}
#Contruct pricer
pd_pricer = PathDependentMCPricer(pricer_parameters)
#Do trade
price = pd_pricer.do_trade(ao)
print "MC Asian opt price ", price
self.assertAlmostEqual( first = 2.015, second= price, places=2)#, msg, delta)
def plotUpAndOut():
Spots = np.linspace(start=50., stop=120, num=100)
Spots = list(Spots)
barrier = 108.
payoff = VanillaCall(Strike=Strike)
#look at times
look_at_times = list(np.linspace(start=0, stop=Expiry, num=12))
option_parameters = {'payoff': payoff,
'look_at_times':look_at_times,
'Expiry':Expiry,
'Barrier': barrier}
ao = UpAndOutCall(option_parameters)
prices = []
for Spot in Spots:
market_params = {'spot':Spot, 'rate':rate, 'vol':Vol}
path_generator = GeneratorGBM(market_params)
path_generator.generator.set_seed(seed=0)
gatherer = SDGatherer()
pricer_parameters = {'path_generator':path_generator,
'num_paths': num_paths,
'gatherer': gatherer}
pd_pricer = PathDependentMCPricer(pricer_parameters)
price = pd_pricer.do_trade(ao)
prices += [price]
plt.plot(Spots, prices)
plt.show()
def MCAsianPrice():
payoff = VanillaCall(Strike=Strike)
#look at times
look_at_times = list(np.linspace(start=0, stop=Expiry, num=12))
option_parameters = {'payoff': payoff, 'look_at_times':look_at_times,'Expiry':Expiry}
ao = AsianArithmeticOption(option_parameters)
market_params = {'spot':Spot, 'rate':rate, 'vol':Vol}
path_generator = GeneratorGBM(market_params)
gatherer = SDGatherer()
pricer_parameters = {'path_generator':path_generator,
'num_paths': num_paths,
'gatherer': gatherer}
pd_pricer = PathDependentMCPricer(pricer_parameters)
price = pd_pricer.do_trade(ao)
print "MC Asian opt price ", price