def estimiate_bs_constant_vol(evalDate, calendar, daycounter, option_type):
estimate_vol = 0.0
try:
vols, spot, mktData, mktFlds, optionData, optionFlds, optionids = wind_data.get_wind_data(
evalDate)
ql.Settings.instance().evaluationDate = evalDate
curve = wind_data.get_curve_treasury_bond(evalDate, daycounter)
yield_ts = ql.YieldTermStructureHandle(curve)
dividend_ts = ql.YieldTermStructureHandle(
ql.FlatForward(evalDate, 0.0, daycounter))
vol = 1.0
step = 0.005
min_sse = 10000
# estimate_vol = 0.0
while vol > step:
flat_vol_ts = ql.BlackVolTermStructureHandle(
ql.BlackConstantVol(evalDate, calendar, vol, daycounter))
sse = calulate_market_model_price_sse(spot, mktData, mktFlds,
optionData, optionFlds,
optionids, yield_ts,
dividend_ts, flat_vol_ts,
option_type)
if sse < min_sse:
min_sse = sse
estimate_vol = vol
vol -= step
except:
print('Error -- estimiate_bs_constant_vol failed')
return estimate_vol, min_sse
def get_bsmprocess(self, daycounter, underlying, vol_surface):
yield_ts = ql.YieldTermStructureHandle(
get_curve_treasury_bond(self.evalDate, daycounter))
dividend_ts = ql.YieldTermStructureHandle(
ql.FlatForward(self.evalDate, 0.0, daycounter))
vol_ts = ql.BlackVolTermStructureHandle(vol_surface)
process = ql.BlackScholesMertonProcess(ql.QuoteHandle(underlying),
dividend_ts, yield_ts, vol_ts)
return process
def get_rf_tbcurve(evalDate,daycounter,maturitydate):
curve = get_curve_treasury_bond(evalDate, daycounter)
maxdate = curve.maxDate()
#print(maxdate,maturitydate)
if maturitydate > maxdate:
rf = curve.zeroRate(maxdate, daycounter, ql.Continuous).rate()
else:
rf = curve.zeroRate(maturitydate, daycounter, ql.Continuous).rate()
return rf
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
def add_data(self, k, m, vol, close, open):
self.strikes.append(k)
self.moneynesses.append(m)
self.volatilities.append(vol)
self.closes.append(close)
self.opens.append(open)
w.start()
evalDate = ql.Date(24, 3, 2017)
calendar = ql.China()
daycounter = ql.ActualActual()
ql.Settings.instance().evaluationDate = evalDate
curve = get_curve_treasury_bond(evalDate, daycounter)
yield_ts = ql.YieldTermStructureHandle(curve)
dividend_ts = ql.YieldTermStructureHandle(ql.FlatForward(evalDate, 0.0, daycounter))
vols, spot, mktData, mktFlds, optionData, optionFlds, optionids = get_wind_data(evalDate)
mdates = []
data_mdates = []
for optionid in optionids:
optionDataIdx = optionData[optionFlds.index('wind_code')].index(optionid)
if optionData[optionFlds.index('call_or_put')][optionDataIdx] == '认购':
mktindex = mktData[mktFlds.index('option_code')].index(optionid)
tmp = pd.to_datetime(optionData[optionFlds.index('exercise_date')][optionDataIdx])
mdate = datetime.date(tmp.year, tmp.month, tmp.day)
maturitydt = ql.Date(mdate.day, mdate.month, mdate.year)
strike = optionData[optionFlds.index('exercise_price')][optionDataIdx]
dataset = daily_svi_dataset.get(date)
cal_vols, put_vols, maturity_dates, s, rfs = dataset
index = 0
mdate = maturity_dates[index]
maturitydt = util.to_ql_date(mdate)
params_c = paramset_c[index]
params_p = paramset_p[index]
rf = util.get_rf_tbcurve(date_ql, daycounter, maturitydt)
ttm = daycounter.yearFraction(date_ql, maturitydt)
discount = math.exp(-rf * ttm)
# Example
strike = 2.4
dS = 0.001
iscall = True
curve = get_curve_treasury_bond(date_ql, daycounter)
yield_ts = util.get_yield_ts(date_ql, curve, maturitydt, daycounter)
dividend_ts = util.get_dividend_ts(date_ql, daycounter)
print('strike = ', strike, ', option type : call')
print('=' * 100)
print("%10s %25s %25s %25s %25s" %
("Spot", "delta_total", "delta_eff", "delta_constant_vol ", "diff"))
print('-' * 100)
svi_c = svimodel(ttm, params_c)
call_delta_total = []
call_delta_cnst = []
call_delta_eff = []
call_diff = []
#index=['data_total','data_const']
# # if model_price == 0.0: continue
# squared_error = (model_price - close) ** 2
# # print(" %15s %25s %25s " % (round(close,6),round(model_price,6), round(squared_error*10000,6)))
# sse += squared_error
# if sse < min_sse:
# min_sse = sse
# estimate_vol = vol
# vol -= step
# estimated_vols.update({evalDate: estimate_vol})
# print(evalDate, ' : ', estimate_vol)
for evalDate in dates:
# if evalDate in estimated_vols.keys(): continue
ql.Settings.instance().evaluationDate = util.to_ql_date(evalDate)
svi_data = svi_dataset.get(evalDate).dataSet
curve = get_curve_treasury_bond(util.to_ql_date(evalDate), daycounter)
yield_ts = ql.YieldTermStructureHandle(curve)
dividend_ts = ql.YieldTermStructureHandle(
ql.FlatForward(util.to_ql_date(evalDate), 0.0, daycounter))
vol = 0.0
flat_vol_ts = ql.BlackVolTermStructureHandle(
ql.BlackConstantVol(util.to_ql_date(evalDate), calendar, vol,
daycounter))
vols = []
for mdate in svi_data.keys():
data_mdate = svi_data.get(mdate)
strikes = data_mdate.strike
spot = data_mdate.spot
for i in range(len(strikes)):
maturitydt = ql.Date(mdate.day, mdate.month, mdate.year)
strike = strikes[i]
spreads_avg_ts = {}
callvol_avg_ts = {}
putvol_avg_ts = {}
call_trading_volum_dic = {}
put_trading_volum_dic = {}
while evalDate <= endDate:
evalDate = calendar.advance(evalDate, ql.Period(1, ql.Days))
spreads_avg = []
callvol_avg = []
putvol_avg = []
trading_volums_call = []
trading_volums_put = []
ql.Settings.instance().evaluationDate = evalDate
try:
curve = raw_data.get_curve_treasury_bond(evalDate, daycounter)
cal_vols_data, put_vols_data = svi_data.get_call_put_impliedVols_strikes(evalDate,curve,daycounter,calendar,maxVol=1.0,step=0.0001,precision=0.001,show=False)
# Loop through contract months
for idx_month,call_vol_dict in enumerate(cal_vols_data):
put_vol_dict = put_vols_data[idx_month]
vol_spreads_weights = []
strikes = []
call_sorted = sorted(call_vol_dict.items(), key=operator.itemgetter(0))
call_vol_dict_sorted = dict(call_sorted)
put_sorted = sorted(put_vol_dict.items(), key=operator.itemgetter(0))
put_vol_dict_sorted = dict(put_sorted)
spread_weightsum = 0.0
callvol_weightsum = 0.0
putvol_weightsum = 0.0
call_amount_strikesum = 0.0
put_amount_strikesum = 0.0
