def get_call_put_impliedVols_tbcurve(
evalDate, daycounter, calendar, maxVol=1.0, step=0.0001, precision=0.05, show=True):
call_volatilities_0 = {}
call_volatilities_1 = {}
call_volatilities_2 = {}
call_volatilities_3 = {}
put_volatilites_0 = {}
put_volatilites_1 = {}
put_volatilites_2 = {}
put_volatilites_3 = {}
e_date0, e_date1, e_date2, e_date3 = 0, 0, 0, 0
try:
curve = get_curve_treasury_bond(evalDate, daycounter)
vols, spot, mktData, mktFlds, optionData, optionFlds, optionids = get_wind_data(evalDate)
ql.Settings.instance().evaluationDate = evalDate
yield_ts = ql.YieldTermStructureHandle(curve)
dividend_ts = ql.YieldTermStructureHandle(ql.FlatForward(evalDate, 0.0, daycounter))
month_indexs = get_contract_months(evalDate)
for idx, optionid in enumerate(optionids):
optionDataIdx = optionData[optionFlds.index('wind_code')].index(optionid)
mdate = pd.to_datetime(optionData[optionFlds.index('exercise_date')][optionDataIdx])
maturitydt = ql.Date(mdate.day, mdate.month, mdate.year)
mktindex = mktData[mktFlds.index('option_code')].index(optionid)
strike = optionData[optionFlds.index('exercise_price')][optionDataIdx]
close = mktData[mktFlds.index('close')][mktindex]
ttm = daycounter.yearFraction(evalDate, maturitydt)
rf = curve.zeroRate(maturitydt, daycounter, ql.Continuous).rate()
nbr_month = maturitydt.month()
if nbr_month == month_indexs[0]:
e_date0 = maturitydt
Ft = spot * math.exp(rf * ttm)
moneyness = math.log(strike / Ft, math.e)
if optionData[optionFlds.index('call_or_put')][optionDataIdx] == '认购':
optiontype = ql.Option.Call
implied_vol, error = calculate_vol_BS(maturitydt, optiontype, strike, spot, dividend_ts, yield_ts,
close, evalDate, calendar, daycounter, precision, maxVol,
step)
call_volatilities_0.update({moneyness: [implied_vol, strike, close]})
else:
optiontype = ql.Option.Put
implied_vol, error = calculate_vol_BS(maturitydt, optiontype, strike, spot, dividend_ts, yield_ts,
close, evalDate,
calendar, daycounter, precision, maxVol, step)
put_volatilites_0.update({moneyness: [implied_vol, strike, close]})
elif nbr_month == month_indexs[1]:
e_date1 = maturitydt
Ft = spot * math.exp(rf * ttm)
moneyness = math.log(strike / Ft, math.e)
if optionData[optionFlds.index('call_or_put')][optionDataIdx] == '认购':
optiontype = ql.Option.Call
implied_vol, error = calculate_vol_BS(maturitydt, optiontype, strike, spot, dividend_ts, yield_ts,
close, evalDate, calendar, daycounter, precision, maxVol,
step)
call_volatilities_1.update({moneyness: [implied_vol, strike, close]})
else:
optiontype = ql.Option.Put
implied_vol, error = calculate_vol_BS(maturitydt, optiontype, strike, spot, dividend_ts, yield_ts,
close, evalDate,
calendar, daycounter, precision, maxVol, step)
put_volatilites_1.update({moneyness: [implied_vol, strike, close]})
elif nbr_month == month_indexs[2]:
e_date2 = maturitydt
Ft = spot * math.exp(rf * ttm)
moneyness = math.log(strike / Ft, math.e)
if optionData[optionFlds.index('call_or_put')][optionDataIdx] == '认购':
optiontype = ql.Option.Call
implied_vol, error = calculate_vol_BS(maturitydt, optiontype, strike, spot, dividend_ts, yield_ts,
close, evalDate, calendar, daycounter, precision, maxVol,
step)
call_volatilities_2.update({moneyness: [implied_vol, strike, close]})
else:
optiontype = ql.Option.Put
implied_vol, error = calculate_vol_BS(maturitydt, optiontype, strike, spot, dividend_ts, yield_ts,
close, evalDate,
calendar, daycounter, precision, maxVol, step)
put_volatilites_2.update({moneyness: [implied_vol, strike, close]})
else:
e_date3 = maturitydt
Ft = spot * math.exp(rf * ttm)
moneyness = math.log(strike / Ft, math.e)
if optionData[optionFlds.index('call_or_put')][optionDataIdx] == '认购':
optiontype = ql.Option.Call
implied_vol, error = calculate_vol_BS(maturitydt, optiontype, strike, spot, dividend_ts, yield_ts,
close, evalDate, calendar, daycounter, precision, maxVol,
step)
call_volatilities_3.update({moneyness: [implied_vol, strike, close]})
else:
optiontype = ql.Option.Put
implied_vol, error = calculate_vol_BS(maturitydt, optiontype, strike, spot, dividend_ts, yield_ts,
close, evalDate,
calendar, daycounter, precision, maxVol, step)
put_volatilites_3.update({moneyness: [implied_vol, strike, close]})
expiration_dates = [e_date0, e_date1, e_date2, e_date3]
cal_vols = [call_volatilities_0, call_volatilities_1, call_volatilities_2, call_volatilities_3]
put_vols = [put_volatilites_0, put_volatilites_1, put_volatilites_2, put_volatilites_3]
except Exception as e:
print('Error -- get_call_put_impliedVols failed')
print(e)
return
return cal_vols, put_vols, expiration_dates, spot, curve
ql.Settings.instance().evaluationDate = evalDate
try:
#vols, spot, mktData, mktFlds, optionData, optionFlds, optionids = wind_data.get_wind_data(evalDate)
cal_vols, put_vols, expiration_dates, spot, rf_months = svi_data.get_call_put_impliedVols_moneyness_PCPrate_pcvt(
evalDate, daycounter, calendar, maxVol=1.0, step=0.0001, precision=0.001, show=False)
data_months = svi_util.orgnize_data_for_optimization(
evalDate, daycounter, cal_vols, put_vols, expiration_dates, spot)
#print(data_months)
except:
continue
key_date = datetime.date(evalDate.year(), evalDate.month(), evalDate.dayOfMonth())
maturity_dates = to_dt_dates(expiration_dates)
svi_dataset = cal_vols, put_vols, maturity_dates, spot, rf_months
daily_svi_dataset.update({key_date:svi_dataset})
dividend_ts = ql.YieldTermStructureHandle(ql.FlatForward(evalDate, 0.0, daycounter))
month_indexs = wind_data.get_contract_months(evalDate)
params_months = []
for i in range(4):
nbr_month = month_indexs[i]
data = data_months.get(i)
logMoneynesses = data[0]
totalvariance = data[1]
expiration_date = data[2]
ttm = daycounter.yearFraction(evalDate, expiration_date)
params = svi_util.get_svi_optimal_params(data, ttm, 30)
params_months.append(params)
daily_params.update({key_date:params_months})
dates.append(key_date)
print('Finished : ',evalDate)
print(params_months[0])
a_star = np.divide(_a_star, ttm)
b_star = np.divide(_c_star, (sigma_star * ttm))
rho_star = np.divide(_d_star, _c_star)
final_parames = [a_star, b_star, rho_star, m_star, sigma_star]
return final_parames
# Evaluation Settings
np.random.seed()
#w.start()
calendar = ql.China()
daycounter = ql.ActualActual()
evalDate = ql.Date(18, 7, 2017)
evalDate = calendar.advance(evalDate, ql.Period(1, ql.Days))
month_indexs = basic_data.get_contract_months(evalDate)
ql.Settings.instance().evaluationDate = evalDate
curve = basic_data.get_curve_treasury_bond(evalDate, daycounter)
cal_vols, put_vols, expiration_dates, spot, risk_free_rates = svi_data.get_call_put_impliedVols_moneyness_PCPrate_pcvt(
evalDate,
daycounter,
calendar,
maxVol=1.0,
step=0.0001,
precision=0.001,
show=False)
data_months = svi_util.orgnize_data_for_optimization(evalDate, daycounter,
cal_vols, put_vols,
expiration_dates, spot)
print(evalDate)
# Calibrate SVI total variance curve