def test_FinBinomialTree():
stock_price = 50.0
risk_free_rate = 0.06
dividend_yield = 0.04
volatility = 0.40
valuation_date = Date(1, 1, 2016)
expiry_date = Date(1, 1, 2017)
model = BlackScholes(volatility)
discount_curve = DiscountCurveFlat(valuation_date, risk_free_rate)
dividend_curve = DiscountCurveFlat(valuation_date, dividend_yield)
num_steps_list = [100, 500, 1000, 2000, 5000]
strike_price = 50.0
testCases.banner("================== EUROPEAN PUT =======================")
put_option = EquityVanillaOption(expiry_date, strike_price,
OptionTypes.EUROPEAN_PUT)
value = put_option.value(valuation_date, stock_price, discount_curve,
dividend_curve, model)
delta = put_option.delta(valuation_date, stock_price, discount_curve,
dividend_curve, model)
gamma = put_option.gamma(valuation_date, stock_price, discount_curve,
dividend_curve, model)
theta = put_option.theta(valuation_date, stock_price, discount_curve,
dividend_curve, model)
testCases.header("BS Value", "BS Delta", "BS Gamma", "BS Theta")
testCases.print(value, delta, gamma, theta)
payoff = EquityTreePayoffTypes.VANILLA_OPTION
exercise = EquityTreeExerciseTypes.EUROPEAN
params = np.array([-1, strike_price])
testCases.header("NumSteps", "Results", "TIME")
for num_steps in num_steps_list:
start = time.time()
tree = EquityBinomialTree()
results = tree.value(stock_price, discount_curve, dividend_curve,
volatility, num_steps, valuation_date, payoff,
expiry_date, payoff, exercise, params)
end = time.time()
duration = end - start
testCases.print(num_steps, results, duration)
testCases.banner("================== AMERICAN PUT =======================")
payoff = EquityTreePayoffTypes.VANILLA_OPTION
exercise = EquityTreeExerciseTypes.AMERICAN
params = np.array([-1, strike_price])
testCases.header("NumSteps", "Results", "TIME")
for num_steps in num_steps_list:
start = time.time()
tree = EquityBinomialTree()
results = tree.value(stock_price, discount_curve, dividend_curve,
volatility, num_steps, valuation_date, payoff,
expiry_date, payoff, exercise, params)
end = time.time()
duration = end - start
testCases.print(num_steps, results, duration)
testCases.banner(
"================== EUROPEAN CALL =======================")
call_option = EquityVanillaOption(expiry_date, strike_price,
OptionTypes.EUROPEAN_CALL)
value = call_option.value(valuation_date, stock_price, discount_curve,
dividend_curve, model)
delta = call_option.delta(valuation_date, stock_price, discount_curve,
dividend_curve, model)
gamma = call_option.gamma(valuation_date, stock_price, discount_curve,
dividend_curve, model)
theta = call_option.theta(valuation_date, stock_price, discount_curve,
dividend_curve, model)
testCases.header("BS Value", "BS Delta", "BS Gamma", "BS Theta")
testCases.print(value, delta, gamma, theta)
payoff = EquityTreePayoffTypes.VANILLA_OPTION
exercise = EquityTreeExerciseTypes.EUROPEAN
params = np.array([1.0, strike_price])
testCases.header("NumSteps", "Results", "TIME")
for num_steps in num_steps_list:
start = time.time()
tree = EquityBinomialTree()
results = tree.value(stock_price, discount_curve, dividend_curve,
volatility, num_steps, valuation_date, payoff,
expiry_date, payoff, exercise, params)
end = time.time()
duration = end - start
testCases.print(num_steps, results, duration)
testCases.banner(
"================== AMERICAN CALL =======================")
payoff = EquityTreePayoffTypes.VANILLA_OPTION
exercise = EquityTreeExerciseTypes.AMERICAN
params = np.array([1.0, strike_price])
testCases.header("NumSteps", "Results", "TIME")
for num_steps in num_steps_list:
start = time.time()
tree = EquityBinomialTree()
results = tree.value(stock_price, discount_curve, dividend_curve,
volatility, num_steps, valuation_date, payoff,
expiry_date, payoff, exercise, params)
end = time.time()
duration = end - start
testCases.print(num_steps, results, duration)
def test_EquityVanillaOption():
valuation_date = Date(1, 1, 2015)
expiry_date = Date(1, 7, 2015)
stock_price = 100
volatility = 0.30
interest_rate = 0.05
dividend_yield = 0.01
model = BlackScholes(volatility)
discount_curve = DiscountCurveFlat(valuation_date, interest_rate)
dividend_curve = DiscountCurveFlat(valuation_date, dividend_yield)
num_paths_list = [10000, 20000, 40000, 80000, 160000, 320000]
testCases.header("NUMPATHS", "VALUE_BS", "VALUE_MC", "TIME")
for num_paths in num_paths_list:
call_option = EquityVanillaOption(expiry_date, 100.0,
FinOptionTypes.EUROPEAN_CALL)
value = call_option.value(valuation_date, stock_price, discount_curve,
dividend_curve, model)
start = time.time()
value_mc = call_option.value_mc(valuation_date, stock_price,
discount_curve, dividend_curve, model,
num_paths)
end = time.time()
duration = end - start
testCases.print(num_paths, value, value_mc, duration)
###############################################################################
stock_prices = range(80, 120, 10)
num_paths = 100000
testCases.header("NUMPATHS", "CALL_VALUE_BS", "CALL_VALUE_MC",
"CALL_VALUE_MC_SOBOL", "TIME")
useSobol = True
for stock_price in stock_prices:
call_option = EquityVanillaOption(expiry_date, 100.0,
FinOptionTypes.EUROPEAN_CALL)
value = call_option.value(valuation_date, stock_price, discount_curve,
dividend_curve, model)
start = time.time()
useSobol = False
value_mc1 = call_option.value_mc(valuation_date, stock_price,
discount_curve, dividend_curve, model,
num_paths, useSobol)
useSobol = True
value_mc2 = call_option.value_mc(valuation_date, stock_price,
discount_curve, dividend_curve, model,
num_paths, useSobol)
end = time.time()
duration = end - start
testCases.print(num_paths, value, value_mc1, value_mc2, duration)
###############################################################################
stock_prices = range(80, 120, 10)
num_paths = 100000
testCases.header("NUMPATHS", "PUT_VALUE_BS", "PUT_VALUE_MC",
"PUT_VALUE_MC_SOBOL", "TIME")
for stock_price in stock_prices:
put_option = EquityVanillaOption(expiry_date, 100.0,
FinOptionTypes.EUROPEAN_PUT)
value = put_option.value(valuation_date, stock_price, discount_curve,
dividend_curve, model)
start = time.time()
useSobol = False
value_mc1 = put_option.value_mc(valuation_date, stock_price,
discount_curve, dividend_curve, model,
num_paths, useSobol)
useSobol = True
value_mc2 = put_option.value_mc(valuation_date, stock_price,
discount_curve, dividend_curve, model,
num_paths, useSobol)
end = time.time()
duration = end - start
testCases.print(num_paths, value, value_mc1, value_mc2, duration)
###############################################################################
stock_prices = range(80, 120, 10)
testCases.header("STOCK PRICE", "CALL_VALUE_BS", "CALL_DELTA_BS",
"CALL_VEGA_BS", "CALL_THETA_BS", "CALL_RHO_BS",
"CALL_VANNA_BS")
for stock_price in stock_prices:
call_option = EquityVanillaOption(expiry_date, 100.0,
FinOptionTypes.EUROPEAN_CALL)
value = call_option.value(valuation_date, stock_price, discount_curve,
dividend_curve, model)
delta = call_option.delta(valuation_date, stock_price, discount_curve,
dividend_curve, model)
vega = call_option.vega(valuation_date, stock_price, discount_curve,
dividend_curve, model)
theta = call_option.theta(valuation_date, stock_price, discount_curve,
dividend_curve, model)
rho = call_option.rho(valuation_date, stock_price, discount_curve,
dividend_curve, model)
vanna = call_option.vanna(valuation_date, stock_price, discount_curve,
dividend_curve, model)
testCases.print(stock_price, value, delta, vega, theta, rho, vanna)
###########################################################################
testCases.header("STOCK PRICE", "PUT_VALUE_BS", "PUT_DELTA_BS",
"PUT_VEGA_BS", "PUT_THETA_BS", "PUT_RHO_BS",
"PUT_VANNA_BS")
for stock_price in stock_prices:
put_option = EquityVanillaOption(expiry_date, 100.0,
FinOptionTypes.EUROPEAN_PUT)
value = put_option.value(valuation_date, stock_price, discount_curve,
dividend_curve, model)
delta = put_option.delta(valuation_date, stock_price, discount_curve,
dividend_curve, model)
vega = put_option.vega(valuation_date, stock_price, discount_curve,
dividend_curve, model)
theta = put_option.theta(valuation_date, stock_price, discount_curve,
dividend_curve, model)
rho = put_option.rho(valuation_date, stock_price, discount_curve,
dividend_curve, model)
vanna = put_option.vanna(valuation_date, stock_price, discount_curve,
dividend_curve, model)
testCases.print(stock_price, value, delta, vega, theta, rho, vanna)