def prtfCalc(self):
calc = {}
calc["FairValue"], calc["Delta"], calc["Gamma"], calc["Vega"], calc[
"Rho"], calc["Theta"] = 0.0, 0.0, 0.0, 0.0, 0.0, 0.0
calc["Vanna"], calc["Volga"], calc["Veta"], calc[
"Charm"] = 0.0, 0.0, 0.0, 0.0
for tr in self.tradeRecord:
if tr:
opt = EuropeanOption(tr["CallOrPut"] == "Call", tr["Strike"],
tr["DayToExpiry"], tr["DvdYield"] / 100.0)
opt.setLevel(self.spot, tr["ImplVol"] / 100.0,
tr["RiskFree"] / 100.0)
calc["FairValue"] += opt.fairValue() * tr["Notional"]
calc["Delta"] += opt.delta() * tr["Notional"]
calc["Gamma"] += opt.gamma() * tr["Notional"]
calc["Vega"] += opt.vega() * tr["Notional"]
calc["Rho"] += opt.rho() * tr["Notional"]
calc["Theta"] += opt.theta(
) * tr["Notional"] / self.DaysPerYear
calc["Vanna"] += opt.vanna() * tr["Notional"]
calc["Volga"] += opt.volga() * tr["Notional"]
calc["Veta"] += opt.veta() * tr["Notional"]
calc["Charm"] += opt.charm() * tr["Notional"]
return calc
def test_f_vanna(self):
#vanna = d2V/ dS dv = dDelta/dv
dvol = 0.001
opt1 = EuropeanOption(False, 204.0, 91.0, 0.02) #isCall, strike, dayToExpiry, dvdYield
opt1.setLevel(200.0, 0.300, 0.03) #spot, ivol, riskFree
d1 = opt1.delta()
opt2 = EuropeanOption(False, 204.0, 91.0, 0.02) #isCall, strike, dayToExpiry, dvdYield
opt2.setLevel(200.0, 0.300+dvol, 0.03) #spot, ivol, riskFree
d2 = opt2.delta()
approx = (d2-d1)/dvol
optMid = EuropeanOption(False, 204.0, 91.0, 0.02) #isCall, strike, dayToExpiry, dvdYield
optMid.setLevel(200.0, 0.300+dvol*0.5, 0.03) #spot, ivol, riskFree
print(approx)
print(optMid.vanna())
assert self._isFloatNear( approx/ optMid.vanna(), 1.0, 1e-3)