maturitydt = maturities[cont]
optionBarrierEuropean = OptionBarrierEuropean(strike, maturitydt,
optionType, barrier,
barrierType)
barrier_option = optionBarrierEuropean.option_ql
deltas = []
gammas = []
vegas = []
tdeltas = []
prices = []
for spot in spot_range:
underlying.setValue(spot)
vol = black_var_surface.blackVol(
daycounter.yearFraction(evalDate, maturitydt), spot)
# process = evaluation.get_bsmprocess(daycounter, underlying, black_var_surface)
process = evaluation.get_bsmprocess_cnstvol(daycounter, calendar,
underlying, vol)
barrier_option.setPricingEngine(
ql.BinomialBarrierEngine(process, 'crr', 400))
delta = barrier_option.delta()
gamma = barrier_option.gamma()
deltas.append(delta)
gammas.append(gamma)
price = barrier_option.NPV()
prices.append(price)
# vol2 = black_var_surface.blackVol(daycounter.yearFraction(evalDate, maturitydt),spot+0.1)
# process2 = evaluation.get_bsmprocess_cnstvol(daycounter,calendar,underlying,vol2)
# barrier_option.setPricingEngine(ql.BinomialBarrierEngine(process2, 'crr', 800))
# price2 = barrier_option.NPV()
# vega = (price2-price)/(vol2-vol)
# dsigma_ds = (vol2-vol)/0.1
# print(vol,vol2,vega,dsigma_ds)
barrier = strike*(1+pct)
endDate = calendar.advance(maturitydt,ql.Period(-1,ql.Days))
################Barrier Option Info#####################
#print('barrier/strike',barrier/strike)
optionBarrierEuropean = OptionBarrierEuropean(strike,maturitydt,optionType,barrier,barrierType)
barrier_option = optionBarrierEuropean.option_ql
hist_spots = []
#########################################################
# construct vol surface on last day's close prices.
evaluation = Evaluation(begDate, daycounter, calendar)
daily_close, black_var_surface, const_vol = get_vol_data(begDate,daycounter,calendar,contractType)
#print('init spot : ',daily_close)
underlying = ql.SimpleQuote(daily_close)
process_svi_h = evaluation.get_bsmprocess(daycounter, underlying, black_var_surface)
process_bs_h = evaluation.get_bsmprocess_cnstvol(daycounter, calendar, underlying, const_vol)
price_bs, delta_bs = exotic_util.calculate_barrier_price(evaluation, optionBarrierEuropean, hist_spots,
process_bs_h, engineType)
try:
price_svi, delta_svi = exotic_util.calculate_barrier_price(evaluation, optionBarrierEuropean, hist_spots,
process_svi_h, engineType)
except:
continue
init_svi = price_svi
init_bs = price_bs
init_spot = daily_close
tradingcost_svi = abs(delta_svi)*daily_close*fee
tradingcost_bs = abs(delta_bs)*daily_close*fee
cash_svi = price_svi - delta_svi*daily_close - tradingcost_svi
cash_bs = price_bs - delta_bs*daily_close - tradingcost_bs