def getPullOption(self, recalculate=True):
days = np.ceil(self.maturity_time * 365)
T = np.linspace(0, 1, days) * (self.maturity_time)
if recalculate:
self.prices = self.simulateTrajectories()
payoff = self.strike_price - np.mean(self.prices, axis=1)
return np.exp(-1.0 * self.riskless_rate * T) * payoff, np.mean(
self.prices, axis=1)
if __name__ == "__main__":
from prices import Prices
netflix = Prices()
netflix.load("../../test/data/NFLX.csv")
S0 = netflix.getLastPrice()
K = 310
T = 0.08333
r = 0.05
sigma = netflix.getVolatility()
I = 10
european_option = EuropeanOptionPricing(S0, K, T, r, sigma, I)
american_option = AmericanOptionPricing(S0, K, T, r, sigma, I)
print("==Option Parameters==")
print("Test data:", "../../test/data/NFLX.csv")
print("Initial price:", S0)
print("Strike price:", K)
print("Maturity time:", T, "[year]")
print("Volatility:", sigma)
print("Simulation:", I)
def main():
args, err = Protocol.receiveParameters(sys.argv[1:])
if err:
Protocol.sendError("invalid arguments", args)
return
# prices will get the company's data
prices = Prices()
# Enter only if we will pricing with remote data
if args["download_path"] != None:
Protocol.sendStatus("starting download", args["code"])
# Use this CSV file in the load step.
mkdir(args["download_path"])
args["filepath_data"] = prices.download(args["code"], args["start"],
args["end"],
args["download_path"], "Yahoo")
Protocol.sendStatus("download ended", args["filepath_data"])
# Load a downloaded CSV file.
Protocol.sendStatus("loading csv", args["filepath_data"])
prices.load(args["filepath_data"])
# Check if prices loaded the CSV correctly.
if not prices.isLoaded():
Protocol.sendError("data not loaded")
return
# Check if data doesn't have any invalid value
elif not prices.isValidData():
Protocol.sendStatus("cleaning data")
# If there are any wrong value, try to fix it.
fixed = prices.cleanData()
# Otherwise, we can handle this data.
if not fixed:
Protocol.sendError("invalid csv format", args["filepath_data"])
return
# Data is valid and is ready to process.
else:
Protocol.sendStatus("loaded", args["filepath_data"])
# Plot the prices
#filename = prices.getPlot()
json_plot, _ = Plotter.timeSeries(prices.data.Date,
High=prices.data.High,
Low=prices.data.Low,
Close=prices.data.Close)
Protocol.sendStatus("plot generated", json_plot)
Protocol.sendStatus("setting simulation params")
# Initial price
S0 = prices.getLastPrice()
Protocol.sendStatus("setting initial price", S0)
# Strike price
K = float(args["strike_price"])
Protocol.sendStatus("setting strike price", K)
# Maturity time
T = float(args["maturity_time"])
Protocol.sendStatus("setting maturity time", T)
# Simulations
I = int(args["simulations"])
Protocol.sendStatus("setting Monte Carlo simulations", I)
# Riskless rate
r = float(args["r"])
Protocol.sendStatus("setting riskless rate", r)
# Here we will price the option
Protocol.sendStatus("starting simulation")
# Calculate Volatility
sigma = prices.getVolatility()
Protocol.sendStatus("using volatility", sigma)
# using the correct option type
if args["option_type"] == "EU":
option = EuropeanOptionPricing(S0, K, T, r, sigma, I)
Protocol.sendStatus("using European Option")
elif args["option_type"] == "USA":
option = AmericanOptionPricing(S0, K, T, r, sigma, I)
Protocol.sendStatus("using American Option")
else:
# European is the default option
Protocol.sendError("wrong option type", args["option_type"])
option = EuropeanOptionPricing(S0, K, T, r, sigma, I)
Protocol.sendStatus("using European Option")
args["option_type"] = "EU"
# TODO ONLY BUY CALL
Protocol.sendStatus("getting call option")
results = option.getCallOption()
"""
if args["option"] == "call":
Protocol.sendStatus("getting call option")
result = option.getCallOption()
elif args["option"] == "pull":
Protocol.sendStatus("getting pull option")
result = option.getPullOption()
"""
Protocol.sendStatus("simulation ended")
# Build result
if args["option_type"] == "EU":
result_data = {
"type": "EU",
"result": {
"payoff": results[0],
"price": results[1],
}
}
elif args["option_type"] == "USA":
result_data = {
"type": "USA",
"result": {
"plot_data":
Plotter.americanOption(list(results[1]),
list(results[0]))[1]
}
}
Protocol.sendResult(json.dumps(result_data))
sys.stdout.flush()