def test_example():
expiryDate = FinDate(1, 1, 2021)
strikePrice = 105.0
optionTypeCall = FinOptionTypes.EUROPEAN_CALL
optionTypePut = FinOptionTypes.EUROPEAN_PUT
lookbackCall = FinEquityFixedLookbackOption(expiryDate, optionTypeCall,
strikePrice)
lookbackPut = FinEquityFixedLookbackOption(expiryDate, optionTypePut,
strikePrice)
valueDate = FinDate(1, 1, 2020)
interestRate = 0.10
discountCurve = FinDiscountCurveFlat(valueDate, interestRate)
stockPrice = 100.0
dividendYield = 0.0
stockMinMax = 100.0
volatilities = [0.30]
testCases.header("VALUE")
for vol in volatilities:
v = lookbackCall.value(valueDate, stockPrice, discountCurve,
dividendYield, vol, stockMinMax)
testCases.print(v)
def test_FinEquityLookBackOption():
valueDate = FinDate(2015, 1, 1)
expiryDate = FinDate(2016, 1, 1)
stockPrice = 100.0
volatility = 0.3
interestRate = 0.05
dividendYield = 0.01
numPathsRange = [10000]
stockPriceRange = range(90, 110, 2)
numStepsPerYear = 252
discountCurve = FinDiscountCurveFlat(valueDate, interestRate)
###############################################################################
testCases.header(
"NUMPATHS",
"OPTION_TYPE",
"S",
"SMIN",
"VALUE",
"VALUE_MC",
"DIFF",
"TIME")
optionType = FinOptionTypes.EUROPEAN_CALL
for stockPrice in stockPriceRange:
for numPaths in numPathsRange:
option = FinEquityFloatLookbackOption(expiryDate, optionType)
stockMin = stockPrice
value = option.value(
valueDate,
stockPrice,
discountCurve,
dividendYield,
volatility,
stockMin)
start = time.time()
valueMC = option.valueMC(
valueDate,
stockPrice,
discountCurve,
dividendYield,
volatility,
stockMin,
numPaths,
numStepsPerYear)
end = time.time()
timeElapsed = round(end - start, 3)
diff = valueMC - value
testCases.print(
numPaths,
optionType,
stockPrice,
stockMin,
value,
valueMC,
diff,
timeElapsed)
testCases.header(
"NUMPATHS",
"OPTION_TYPE",
"S",
"SMIN",
"VALUE",
"VALUE_MC",
"DIFF",
"TIME")
optionType = FinOptionTypes.EUROPEAN_CALL
for stockPrice in stockPriceRange:
for numPaths in numPathsRange:
option = FinEquityFloatLookbackOption(expiryDate, optionType)
stockMin = stockPrice - 10
value = option.value(
valueDate,
stockPrice,
discountCurve,
dividendYield,
volatility,
stockMin)
start = time.time()
valueMC = option.valueMC(
valueDate,
stockPrice,
discountCurve,
dividendYield,
volatility,
stockMin,
numPaths,
numStepsPerYear)
end = time.time()
timeElapsed = round(end - start, 3)
diff = valueMC - value
testCases.print(
numPaths,
optionType,
stockPrice,
stockMin,
value,
valueMC,
diff,
timeElapsed)
testCases.header(
"NUMPATHS",
"OPTION_TYPE",
"S",
"SMAX",
"VALUE",
"VALUE_MC",
"DIFF",
"TIME")
optionType = FinOptionTypes.EUROPEAN_PUT
for stockPrice in stockPriceRange:
for numPaths in numPathsRange:
option = FinEquityFloatLookbackOption(expiryDate, optionType)
stockMax = stockPrice
value = option.value(
valueDate,
stockPrice,
discountCurve,
dividendYield,
volatility,
stockMax)
start = time.time()
valueMC = option.valueMC(
valueDate,
stockPrice,
discountCurve,
dividendYield,
volatility,
stockMax,
numPaths,
numStepsPerYear)
end = time.time()
timeElapsed = round(end - start, 3)
diff = valueMC - value
testCases.print(
numPaths,
optionType,
stockPrice,
stockMax,
value,
valueMC,
diff,
timeElapsed)
testCases.header(
"NUMPATHS",
"OPTION_TYPE",
"S",
"SMAX",
"VALUE",
"VALUE_MC",
"DIFF",
"TIME")
optionType = FinOptionTypes.EUROPEAN_PUT
for stockPrice in stockPriceRange:
for numPaths in numPathsRange:
option = FinEquityFloatLookbackOption(expiryDate, optionType)
stockMax = stockPrice + 10
value = option.value(
valueDate,
stockPrice,
discountCurve,
dividendYield,
volatility,
stockMax)
start = time.time()
valueMC = option.valueMC(
valueDate,
stockPrice,
discountCurve,
dividendYield,
volatility,
stockMax,
numPaths,
numStepsPerYear)
end = time.time()
timeElapsed = round(end - start, 3)
diff = valueMC - value
testCases.print(
numPaths,
optionType,
stockPrice,
stockMax,
value,
valueMC,
diff,
timeElapsed)
###############################################################################
###############################################################################
stockPriceRange = range(90, 110, 2)
numStepsPerYear = 252
testCases.header(
"NUMPATHS",
"OPTION_TYPE",
"S",
"K",
"SMAX",
"VALUE",
"VALUE_MC",
"DIFF",
"TIME")
optionType = FinOptionTypes.EUROPEAN_CALL
k = 95.0
for stockPrice in stockPriceRange:
for numPaths in numPathsRange:
option = FinEquityFixedLookbackOption(expiryDate, optionType, k)
stockMax = stockPrice
value = option.value(
valueDate,
stockPrice,
discountCurve,
dividendYield,
volatility,
stockMax)
start = time.time()
valueMC = option.valueMC(
valueDate,
stockPrice,
discountCurve,
dividendYield,
volatility,
stockMax,
numPaths,
numStepsPerYear)
end = time.time()
timeElapsed = round(end - start, 3)
diff = valueMC - value
testCases.print(
numPaths,
optionType,
stockPrice,
k,
stockMax,
value,
valueMC,
diff,
timeElapsed)
testCases.header(
"NUMPATHS",
"OPTION_TYPE",
"S",
"K",
"SMAX",
"VALUE",
"VALUE_MC",
"DIFF",
"TIME")
optionType = FinOptionTypes.EUROPEAN_CALL
k = 100.0
for stockPrice in stockPriceRange:
for numPaths in numPathsRange:
option = FinEquityFixedLookbackOption(expiryDate, optionType, k)
stockMax = stockPrice
value = option.value(
valueDate,
stockPrice,
discountCurve,
dividendYield,
volatility,
stockMax)
start = time.time()
valueMC = option.valueMC(
valueDate,
stockPrice,
discountCurve,
dividendYield,
volatility,
stockMax,
numPaths,
numStepsPerYear)
end = time.time()
timeElapsed = round(end - start, 3)
diff = valueMC - value
testCases.print(
numPaths,
optionType,
stockPrice,
k,
stockMax,
value,
valueMC,
diff,
timeElapsed)
testCases.header(
"NUMPATHS",
"OPTION_TYPE",
"S",
"K",
"SMAX",
"VALUE",
"VALUE_MC",
"DIFF",
"TIME")
optionType = FinOptionTypes.EUROPEAN_CALL
k = 105.0
for stockPrice in stockPriceRange:
for numPaths in numPathsRange:
option = FinEquityFixedLookbackOption(expiryDate, optionType, k)
stockMax = stockPrice + 10.0
value = option.value(
valueDate,
stockPrice,
discountCurve,
dividendYield,
volatility,
stockMax)
start = time.time()
valueMC = option.valueMC(
valueDate,
stockPrice,
discountCurve,
dividendYield,
volatility,
stockMax,
numPaths,
numStepsPerYear)
end = time.time()
timeElapsed = round(end - start, 3)
diff = valueMC - value
testCases.print(
numPaths,
optionType,
stockPrice,
k,
stockMax,
value,
valueMC,
diff,
timeElapsed)
testCases.header(
"NUMPATHS",
"OPTION_TYPE",
"S",
"K",
"SMIN",
"VALUE",
"VALUE_MC",
"DIFF",
"TIME")
optionType = FinOptionTypes.EUROPEAN_PUT
k = 95.0
for stockPrice in stockPriceRange:
for numPaths in numPathsRange:
option = FinEquityFixedLookbackOption(expiryDate, optionType, k)
stockMin = stockPrice
value = option.value(
valueDate,
stockPrice,
discountCurve,
dividendYield,
volatility,
stockMin)
start = time.time()
valueMC = option.valueMC(
valueDate,
stockPrice,
discountCurve,
dividendYield,
volatility,
stockMin,
numPaths,
numStepsPerYear)
end = time.time()
timeElapsed = round(end - start, 3)
diff = valueMC - value
testCases.print(
numPaths,
optionType,
stockPrice,
k,
stockMin,
value,
valueMC,
diff,
timeElapsed)
testCases.header(
"NUMPATHS",
"OPTION_TYPE",
"S",
"K",
"SMIN",
"VALUE",
"VALUE_MC",
"DIFF",
"TIME")
optionType = FinOptionTypes.EUROPEAN_PUT
k = 100.0
for stockPrice in stockPriceRange:
for numPaths in numPathsRange:
option = FinEquityFixedLookbackOption(expiryDate, optionType, k)
stockMin = stockPrice
value = option.value(
valueDate,
stockPrice,
discountCurve,
dividendYield,
volatility,
stockMin)
start = time.time()
valueMC = option.valueMC(
valueDate,
stockPrice,
discountCurve,
dividendYield,
volatility,
stockMin,
numPaths,
numStepsPerYear)
end = time.time()
timeElapsed = round(end - start, 3)
diff = valueMC - value
testCases.print(
numPaths,
optionType,
stockPrice,
k,
stockMin,
value,
valueMC,
diff,
timeElapsed)
testCases.header(
"NUMPATHS",
"OPTION_TYPE",
"S",
"K",
"SMIN",
"VALUE",
"VALUE_MC",
"DIFF",
"TIME")
optionType = FinOptionTypes.EUROPEAN_PUT
k = 105.0
for stockPrice in stockPriceRange:
for numPaths in numPathsRange:
option = FinEquityFixedLookbackOption(expiryDate, optionType, k)
stockMin = stockPrice - 10.0
value = option.value(
valueDate,
stockPrice,
discountCurve,
dividendYield,
volatility,
stockMin)
start = time.time()
valueMC = option.valueMC(
valueDate,
stockPrice,
discountCurve,
dividendYield,
volatility,
stockMin,
numPaths,
numStepsPerYear)
end = time.time()
timeElapsed = round(end - start, 3)
diff = valueMC - value
testCases.print(
numPaths,
optionType,
stockPrice,
k,
stockMin,
value,
valueMC,
diff,
timeElapsed)