def test_FinFXVanillaOptionBloombergExample():
# Example Bloomberg Pricing at
# https://stackoverflow.com/questions/48778712/fx-vanilla-call-price-in-quantlib-doesnt-match-bloomberg
valuation_date = Date(13, 2, 2018)
expiry_date = Date(15, 2, 2019)
# In BS the FX rate is the price in domestic of one unit of foreign
# In case of EURUSD = 1.3 the domestic currency is USD and foreign is EUR
# DOM = USD , FOR = EUR
forName = "EUR"
domName = "USD"
forDepoRate = 0.05 # EUR
domDepoRate = 0.02 # USD
currency_pair = forName + domName # Always FORDOM
spot_fx_rate = 1.30
strike_fx_rate = 1.3650
volatility = 0.20
spot_days = 0
settlement_date = valuation_date.add_weekdays(spot_days)
maturity_date = settlement_date.add_months(12)
notional = 1000000.0
notional_currency = "EUR"
calendar_type = CalendarTypes.TARGET
depos = []
fras = []
swaps = []
depo = IborDeposit(settlement_date, maturity_date, domDepoRate,
DayCountTypes.ACT_360, notional, calendar_type)
depos.append(depo)
dom_discount_curve = IborSingleCurve(valuation_date, depos, fras, swaps)
depos = []
fras = []
swaps = []
depo = IborDeposit(settlement_date, maturity_date, forDepoRate,
DayCountTypes.ACT_360, notional, calendar_type)
depos.append(depo)
for_discount_curve = IborSingleCurve(valuation_date, depos, fras, swaps)
model = BlackScholes(volatility)
call_option = FXVanillaOption(expiry_date, strike_fx_rate, currency_pair,
OptionTypes.EUROPEAN_CALL, notional,
notional_currency, 2)
value = call_option.value(valuation_date, spot_fx_rate, dom_discount_curve,
for_discount_curve, model)
delta = call_option.delta(valuation_date, spot_fx_rate, dom_discount_curve,
for_discount_curve, model)
testCases.header("value", "delta")
testCases.print(value, delta)
def test_FinFXVanillaOptionWystupExample2():
# Example Bloomberg Pricing at
# https://stackoverflow.com/questions/48778712/fx-vanilla-call-price-in-quantlib-doesnt-match-bloomberg
valuation_date = Date(13, 2, 2018)
expiry_date = Date(13, 2, 2019)
# In BS the FX rate is the price in domestic of one unit of foreign
# In case of EURUSD = 1.3 the domestic currency is USD and foreign is EUR
# DOM = USD , FOR = EUR
ccy1 = "EUR"
ccy2 = "USD"
ccy1CCRate = 0.0396 # EUR
ccy2CCRate = 0.0357 # USD
currency_pair = ccy1 + ccy2 # Always ccy1ccy2
spot_fx_rate = 0.9090
strike_fx_rate = 0.9090
volatility = 0.12
notional = 1000000.0
dom_discount_curve = DiscountCurveFlat(valuation_date, ccy2CCRate)
for_discount_curve = DiscountCurveFlat(valuation_date, ccy1CCRate)
model = BlackScholes(volatility)
# Two examples to show that changing the notional currency and notional
# keeps the value unchanged
notional = 1000000.0
call_option = FXVanillaOption(expiry_date, strike_fx_rate, currency_pair,
OptionTypes.EUROPEAN_PUT, notional, "EUR", 2)
value = call_option.value(valuation_date, spot_fx_rate, dom_discount_curve,
for_discount_curve, model)
assert round(value['v'], 4) == 0.0436
assert round(value['cash_dom'], 4) == 43612.8769
assert round(value['cash_for'], 4) == 47978.9625
assert round(value['pips_dom'], 4) == 0.0436
assert round(value['pips_for'], 4) == 0.0528
assert round(value['pct_dom'], 4) == 0.0480
assert round(value['pct_for'], 4) == 0.0480
assert round(value['not_dom'], 4) == 909000.0
assert round(value['not_for'], 4) == 1000000.0
assert value['ccy_dom'] == 'USD'
assert value['ccy_for'] == 'EUR'
delta = call_option.delta(valuation_date, spot_fx_rate, dom_discount_curve,
for_discount_curve, model)
assert round(delta['pips_spot_delta'], 4) == -0.4700
assert round(delta['pips_fwd_delta'], 4) == -0.4890
assert round(delta['pct_spot_delta_prem_adj'], 4) == -0.5180
assert round(delta['pct_fwd_delta_prem_adj'], 4) == -0.5389
def test_FinFXVanillaOptionWystupExample1():
# Example from Book extract by Uwe Wystup with results in Table 1.2
# https://mathfinance.com/wp-content/uploads/2017/06/FXOptionsStructuredProducts2e-Extract.pdf
# Not exactly T=1.0 but close so don't exact exact agreement
# (in fact I do not get exact agreement even if I do set T=1.0)
valuation_date = Date(13, 2, 2018)
expiry_date = Date(13, 2, 2019)
# In BS the FX rate is the price in domestic of one unit of foreign
# In case of EURUSD = 1.3 the domestic currency is USD and foreign is EUR
# DOM = USD , FOR = EUR
ccy1 = "EUR"
ccy2 = "USD"
ccy1CCRate = 0.030 # EUR
ccy2CCRate = 0.025 # USD
currency_pair = ccy1 + ccy2 # Always ccy1ccy2
spot_fx_rate = 1.20
strike_fx_rate = 1.250
volatility = 0.10
notional = 1000000.0
dom_discount_curve = DiscountCurveFlat(valuation_date, ccy2CCRate)
for_discount_curve = DiscountCurveFlat(valuation_date, ccy1CCRate)
model = BlackScholes(volatility)
# Two examples to show that changing the notional currency and notional
# keeps the value unchanged
notional = 1000000.0
call_option = FXVanillaOption(expiry_date, strike_fx_rate, currency_pair,
OptionTypes.EUROPEAN_CALL, notional, "EUR",
2)
value = call_option.value(1.0, spot_fx_rate, dom_discount_curve,
for_discount_curve, model)
notional = 1250000.0
call_option = FXVanillaOption(expiry_date, strike_fx_rate, currency_pair,
OptionTypes.EUROPEAN_CALL, notional, "USD",
2)
value = call_option.value(valuation_date, spot_fx_rate, dom_discount_curve,
for_discount_curve, model)
delta = call_option.delta(valuation_date, spot_fx_rate, dom_discount_curve,
for_discount_curve, model)
testCases.header("value", "delta")
testCases.print(value, delta)
def test_FinFXVanillaOptionWystupExample2():
# Example Bloomberg Pricing at
# https://stackoverflow.com/questions/48778712/fx-vanilla-call-price-in-quantlib-doesnt-match-bloomberg
valuation_date = Date(13, 2, 2018)
expiry_date = Date(13, 2, 2019)
# In BS the FX rate is the price in domestic of one unit of foreign
# In case of EURUSD = 1.3 the domestic currency is USD and foreign is EUR
# DOM = USD , FOR = EUR
ccy1 = "EUR"
ccy2 = "USD"
ccy1CCRate = 0.0396 # EUR
ccy2CCRate = 0.0357 # USD
currency_pair = ccy1 + ccy2 # Always ccy1ccy2
spot_fx_rate = 0.9090
strike_fx_rate = 0.9090
volatility = 0.12
notional = 1000000.0
dom_discount_curve = DiscountCurveFlat(valuation_date, ccy2CCRate)
for_discount_curve = DiscountCurveFlat(valuation_date, ccy1CCRate)
model = BlackScholes(volatility)
# Two examples to show that changing the notional currency and notional
# keeps the value unchanged
notional = 1000000.0
call_option = FXVanillaOption(expiry_date, strike_fx_rate, currency_pair,
FinOptionTypes.EUROPEAN_PUT, notional, "EUR",
2)
value = call_option.value(valuation_date, spot_fx_rate, dom_discount_curve,
for_discount_curve, model)
delta = call_option.delta(valuation_date, spot_fx_rate, dom_discount_curve,
for_discount_curve, model)
testCases.header("value", "delta")
testCases.print(value, delta)
def test_FinFXVanillaOptionHullExample():
# Example from Hull 4th edition page 284
valuation_date = Date(1, 1, 2015)
expiry_date = valuation_date.add_months(4)
spot_fx_rate = 1.60
volatility = 0.1411
dom_interest_rate = 0.08
forInterestRate = 0.11
model = BlackScholes(volatility)
dom_discount_curve = DiscountCurveFlat(valuation_date, dom_interest_rate)
for_discount_curve = DiscountCurveFlat(valuation_date, forInterestRate)
num_paths_list = [10000, 20000, 40000, 80000, 160000, 320000]
testCases.header("NUMPATHS", "VALUE_BS", "VALUE_MC")
strike_fx_rate = 1.60
for num_paths in num_paths_list:
call_option = FXVanillaOption(expiry_date, strike_fx_rate, "EURUSD",
OptionTypes.EUROPEAN_CALL, 1000000,
"USD")
value = call_option.value(valuation_date, spot_fx_rate,
dom_discount_curve, for_discount_curve,
model)
start = time.time()
value_mc = call_option.value_mc(valuation_date, spot_fx_rate,
dom_discount_curve, for_discount_curve,
model, num_paths)
end = time.time()
duration = end - start
testCases.print(num_paths, value, value_mc)
##########################################################################
spot_fx_rates = np.arange(100, 200, 10)
spot_fx_rates = spot_fx_rates / 100.0
num_paths = 100000
testCases.header("NUMPATHS", "CALL_VALUE_BS", "CALL_VALUE_MC")
for spot_fx_rate in spot_fx_rates:
call_option = FXVanillaOption(expiry_date, strike_fx_rate, "EURUSD",
OptionTypes.EUROPEAN_CALL, 1000000,
"USD")
value = call_option.value(valuation_date, spot_fx_rate,
dom_discount_curve, for_discount_curve,
model)
start = time.time()
value_mc = call_option.value_mc(valuation_date, spot_fx_rate,
dom_discount_curve, for_discount_curve,
model, num_paths)
end = time.time()
duration = end - start
testCases.print(num_paths, value, value_mc)
##########################################################################
spot_fx_rates = np.arange(100, 200, 10) / 100.0
num_paths = 100000
testCases.header("SPOT FX RATE", "PUT_VALUE_BS", "PUT_VALUE_MC")
for spot_fx_rate in spot_fx_rates:
put_option = FXVanillaOption(expiry_date, strike_fx_rate, "EURUSD",
OptionTypes.EUROPEAN_PUT, 1000000, "USD")
value = put_option.value(valuation_date, spot_fx_rate,
dom_discount_curve, for_discount_curve, model)
start = time.time()
value_mc = put_option.value_mc(valuation_date, spot_fx_rate,
dom_discount_curve, for_discount_curve,
model, num_paths)
end = time.time()
duration = end - start
testCases.print(spot_fx_rate, value, value_mc)
##########################################################################
spot_fx_rates = np.arange(100, 200, 10) / 100.0
testCases.header("SPOT FX RATE", "CALL_VALUE_BS", "DELTA_BS", "VEGA_BS",
"THETA_BS", "RHO_BS")
for spot_fx_rate in spot_fx_rates:
call_option = FXVanillaOption(expiry_date, strike_fx_rate, "EURUSD",
OptionTypes.EUROPEAN_CALL, 1000000,
"USD")
value = call_option.value(valuation_date, spot_fx_rate,
dom_discount_curve, for_discount_curve,
model)
delta = call_option.delta(valuation_date, spot_fx_rate,
dom_discount_curve, for_discount_curve,
model)
vega = call_option.vega(valuation_date, spot_fx_rate,
dom_discount_curve, for_discount_curve, model)
theta = call_option.theta(valuation_date, spot_fx_rate,
dom_discount_curve, for_discount_curve,
model)
# call_option.rho(valuation_date,stock_price, interest_rate,
# dividend_yield, modelType, model_params)
rho = 999
testCases.print(spot_fx_rate, value, delta, vega, theta, rho)
testCases.header("SPOT FX RATE", "PUT_VALUE_BS", "DELTA_BS", "VEGA_BS",
"THETA_BS", "RHO_BS")
for spot_fx_rate in spot_fx_rates:
put_option = FXVanillaOption(expiry_date, strike_fx_rate, "EURUSD",
OptionTypes.EUROPEAN_PUT, 1000000, "USD")
value = put_option.value(valuation_date, spot_fx_rate,
dom_discount_curve, for_discount_curve, model)
delta = put_option.delta(valuation_date, spot_fx_rate,
dom_discount_curve, for_discount_curve, model)
vega = put_option.vega(valuation_date, spot_fx_rate,
dom_discount_curve, for_discount_curve, model)
theta = put_option.theta(valuation_date, spot_fx_rate,
dom_discount_curve, for_discount_curve, model)
# put_option.rho(valuation_date,stock_price, interest_rate, dividend_yield,
# modelType, model_params)
rho = 999
testCases.print(spot_fx_rate, value, delta, vega, theta, rho)
##########################################################################
testCases.header("SPOT FX RATE", "VALUE_BS", "VOL_IN", "IMPLD_VOL")
spot_fx_rates = np.arange(100, 200, 10) / 100.0
for spot_fx_rate in spot_fx_rates:
call_option = FXVanillaOption(expiry_date, strike_fx_rate, "EURUSD",
OptionTypes.EUROPEAN_CALL, 1000000,
"USD")
value = call_option.value(valuation_date, spot_fx_rate,
dom_discount_curve, for_discount_curve,
model)['v']
impliedVol = call_option.implied_volatility(valuation_date,
spot_fx_rate,
dom_discount_curve,
for_discount_curve, value)
testCases.print(spot_fx_rate, value, volatility, impliedVol)
def test_FinFXVanillaOptionWystupExample1():
# Example from Book extract by Uwe Wystup with results in Table 1.2
# https://mathfinance.com/wp-content/uploads/2017/06/FXOptionsStructuredProducts2e-Extract.pdf
# Not exactly T=1.0 but close so don't exact exact agreement
# (in fact I do not get exact agreement even if I do set T=1.0)
valuation_date = Date(13, 2, 2018)
expiry_date = Date(13, 2, 2019)
# In BS the FX rate is the price in domestic of one unit of foreign
# In case of EURUSD = 1.3 the domestic currency is USD and foreign is EUR
# DOM = USD , FOR = EUR
ccy1 = "EUR"
ccy2 = "USD"
ccy1CCRate = 0.030 # EUR
ccy2CCRate = 0.025 # USD
currency_pair = ccy1 + ccy2 # Always ccy1ccy2
spot_fx_rate = 1.20
strike_fx_rate = 1.250
volatility = 0.10
notional = 1000000.0
dom_discount_curve = DiscountCurveFlat(valuation_date, ccy2CCRate)
for_discount_curve = DiscountCurveFlat(valuation_date, ccy1CCRate)
model = BlackScholes(volatility)
# Two examples to show that changing the notional currency and notional
# keeps the value unchanged
notional = 1000000.0
call_option = FXVanillaOption(expiry_date, strike_fx_rate, currency_pair,
OptionTypes.EUROPEAN_CALL, notional, "EUR",
2)
value = call_option.value(valuation_date, spot_fx_rate, dom_discount_curve,
for_discount_curve, model)
notional = 1250000.0
call_option = FXVanillaOption(expiry_date, strike_fx_rate, currency_pair,
OptionTypes.EUROPEAN_CALL, notional, "USD",
2)
value = call_option.value(valuation_date, spot_fx_rate, dom_discount_curve,
for_discount_curve, model)
assert round(value['v'], 4) == 0.0251
assert round(value['cash_dom'], 4) == 25125.1772
assert round(value['cash_for'], 4) == 20937.6477
assert round(value['pips_dom'], 4) == 0.0251
assert round(value['pips_for'], 4) == 0.0168
assert round(value['pct_dom'], 4) == 0.0201
assert round(value['pct_for'], 4) == 0.0209
assert round(value['not_dom'], 4) == 1250000.0
assert round(value['not_for'], 4) == 1000000.0
assert value['ccy_dom'] == 'USD'
assert value['ccy_for'] == 'EUR'
delta = call_option.delta(valuation_date, spot_fx_rate, dom_discount_curve,
for_discount_curve, model)
assert round(delta['pips_spot_delta'], 4) == 0.3315
assert round(delta['pips_fwd_delta'], 4) == 0.3416
assert round(delta['pct_spot_delta_prem_adj'], 4) == 0.3105
assert round(delta['pct_fwd_delta_prem_adj'], 4) == 0.3200
def test_FinFXVanillaOptionBloombergExample():
# Example Bloomberg Pricing at
# https://stackoverflow.com/questions/48778712/fx-vanilla-call-price-in-quantlib-doesnt-match-bloomberg
valuation_date = Date(13, 2, 2018)
expiry_date = Date(15, 2, 2019)
# In BS the FX rate is the price in domestic of one unit of foreign
# In case of EURUSD = 1.3 the domestic currency is USD and foreign is EUR
# DOM = USD , FOR = EUR
forName = "EUR"
domName = "USD"
forDepoRate = 0.05 # EUR
domDepoRate = 0.02 # USD
currency_pair = forName + domName # Always FORDOM
spot_fx_rate = 1.30
strike_fx_rate = 1.3650
volatility = 0.20
spot_days = 0
settlement_date = valuation_date.add_weekdays(spot_days)
maturity_date = settlement_date.add_months(12)
notional = 1000000.0
notional_currency = "EUR"
calendar_type = CalendarTypes.TARGET
depos = []
fras = []
swaps = []
depo = IborDeposit(settlement_date, maturity_date, domDepoRate,
DayCountTypes.ACT_360, notional, calendar_type)
depos.append(depo)
dom_discount_curve = IborSingleCurve(valuation_date, depos, fras, swaps)
depos = []
fras = []
swaps = []
depo = IborDeposit(settlement_date, maturity_date, forDepoRate,
DayCountTypes.ACT_360, notional, calendar_type)
depos.append(depo)
for_discount_curve = IborSingleCurve(valuation_date, depos, fras, swaps)
model = BlackScholes(volatility)
call_option = FXVanillaOption(expiry_date, strike_fx_rate, currency_pair,
OptionTypes.EUROPEAN_CALL, notional,
notional_currency, 2)
value = call_option.value(valuation_date, spot_fx_rate, dom_discount_curve,
for_discount_curve, model)
assert round(value['v'], 4) == 0.0601
assert round(value['cash_dom'], 4) == 60145.5078
assert round(value['cash_for'], 4) == 46265.7752
assert round(value['pips_dom'], 4) == 0.0601
assert round(value['pips_for'], 4) == 0.0339
assert round(value['pct_dom'], 4) == 0.0441
assert round(value['pct_for'], 4) == 0.0463
assert round(value['not_dom'], 4) == 1365000.0
assert round(value['not_for'], 4) == 1000000.0
assert value['ccy_dom'] == 'USD'
assert value['ccy_for'] == 'EUR'
delta = call_option.delta(valuation_date, spot_fx_rate, dom_discount_curve,
for_discount_curve, model)
assert round(delta['pips_spot_delta'], 4) == 0.3671
assert round(delta['pips_fwd_delta'], 4) == 0.3859
assert round(delta['pct_spot_delta_prem_adj'], 4) == 0.3208
assert round(delta['pct_fwd_delta_prem_adj'], 4) == 0.3373
