nbr_maturiy=0, strike=atm_call.applicable_strike()) delta_call = atm_call.get_delta(iv_htbr) delta_put = atm_put.get_delta(iv_htbr) # iv1 = atm_call.get_implied_vol() # iv2 = atm_put.get_implied_vol() # if iv1 is None or iv2 is None: # list_atm_call, list_atm_put = optionset.get_options_list_by_moneyness_mthd1(0, maturity1) # iv1 = list_atm_call[0].get_implied_vol() # iv2 = list_atm_put[0].get_implied_vol() # if iv1 is None : iv1 = iv2 # if iv2 is None: iv2 = iv1 # delta_call = atm_call.get_delta(iv1) # delta_put = atm_put.get_delta(iv2) options_delta = unit_c * atm_call.multiplier( ) * delta_call + unit_p * atm_put.multiplier() * delta_put hedge_unit = hedging.get_hedge_rebalancing_unit( options_delta, buy_write) hedging.synthetic_unit += -hedge_unit if hedge_unit > 0: long_short = c.LongShort.LONG else: long_short = c.LongShort.SHORT order_u = account.create_trade_order(hedging, long_short, hedge_unit) record_u = hedging.execute_order(order_u, slippage=slippage) account.add_record(record_u, hedging) account.daily_accounting(optionset.eval_date) total_liquid_asset = account.cash + account.get_portfolio_margin_capital() print(optionset.eval_date, hedging.eval_date, account.account.loc[optionset.eval_date, c.Util.PORTFOLIO_NPV], int(account.cash), int(total_liquid_asset)) if not optionset.has_next(): break
class VolTrading(object): def __init__(self, start_date, end_date, df_metrics, df_vol, df_future_c1_daily, df_futures_all_daily): self.min_holding = 20 self.slippage = 0 self.nbr_maturity = 0 self.moneyness_rank = 0 self.m_notional = 1 self.rf = 0.03 self.n_premium_std = 90 #用于计算权利金溢价1倍标准差的数据期限 self.n_hv = 20 # 用与期权期限相匹配的历史波动率期限 self.n_close_by_maturity = 5 self.min_premium = 2.0 / 100.0 # 对冲成本对应的开平仓最低隐含波动率溢价 self.n_llt = 5 self.cd_option_price = c.CdTradePrice.CLOSE self.cd_future_price = c.CdTradePrice.CLOSE self.cd_price = c.CdPriceType.CLOSE self.start_date = start_date self.end_date = end_date self.df_metrics = df_metrics self.df_vol = df_vol self.df_f_c1 = df_future_c1_daily self.df_f_all = df_futures_all_daily def init(self): df_future_histvol = self.df_f_c1.copy() df_future_histvol['amt_hv'] = histvol.hist_vol( df_future_histvol[c.Util.AMT_CLOSE], n=self.n_hv) self.dt_start = max(self.df_f_c1[c.Util.DT_DATE].values[0], self.df_metrics[c.Util.DT_DATE].values[0]) self.end_date = min(self.df_f_c1[c.Util.DT_DATE].values[-1], self.df_metrics[c.Util.DT_DATE].values[-1]) self.df_metrics = self.df_metrics[ self.df_metrics[c.Util.DT_DATE] >= self.dt_start].reset_index( drop=True) self.df_f_c1 = self.df_f_c1[ self.df_f_c1[c.Util.DT_DATE] >= self.dt_start].reset_index( drop=True) self.df_f_all = self.df_f_all[ self.df_f_all[c.Util.DT_DATE] >= self.dt_start].reset_index( drop=True) self.df_vol = pd.merge(self.df_vol, df_future_histvol[[c.Util.DT_DATE, 'amt_hv']], on=c.Util.DT_DATE).set_index(c.Util.DT_DATE) self.optionset = BaseOptionSet(self.df_metrics) self.optionset.init() self.hedging = SytheticOption(self.df_f_c1, rf=self.rf, df_futures_all_daily=self.df_f_all) self.hedging.init() self.hedging.amt_option = 1 / 1000 # 50ETF与IH点数之比 self.account = BaseAccount(init_fund=c.Util.BILLION, rf=self.rf) self.prepare_timing() def prepare_timing(self): self.timing_hviv() self.timing_llt() def timing_hviv(self): self.df_vol['amt_premium'] = self.df_vol[ c.Util.PCT_IMPLIED_VOL] - self.df_vol['amt_hv'] self.df_vol['amt_1std'] = c.Statistics.standard_deviation( self.df_vol['amt_premium'], n=self.n_premium_std) self.df_vol['amt_2std'] = 2 * c.Statistics.standard_deviation( self.df_vol['amt_premium'], n=self.n_premium_std) self.df_vol['percentile_95'] = c.Statistics.percentile( self.df_vol[c.Util.PCT_IMPLIED_VOL], n=252, percent=0.95) def timing_llt(self): self.df_vol['LLT_' + str(self.n_llt)] = LLT( self.df_vol[c.Util.PCT_IMPLIED_VOL], self.n_llt) self.df_vol['LLT_signal_' + str(self.n_llt)] = self.df_vol['LLT_' + str(self.n_llt)].diff() def open_signal(self): pass def close_signal(self): pass def open_signal_llt(self): dt_date = self.optionset.eval_date if dt_date not in self.df_vol.index: return False if self.df_vol.loc[dt_date, 'LLT_signal_5'] < 0: # 隐含波动率处于下行区间 return True else: return False def close_signal_llt(self): dt_date = self.optionset.eval_date if dt_date not in self.df_vol.index: return False if self.df_vol.loc[dt_date, 'LLT_signal_5'] > 0: # 隐含波动率处于上行区间 return True else: return False def open_signal_ivhv(self): dt_date = self.optionset.eval_date if dt_date not in self.df_vol.index: return False amt_premium = self.df_vol.loc[dt_date, 'amt_premium'] amt_1std = self.df_vol.loc[dt_date, 'amt_1std'] if amt_premium > amt_1std and amt_premium > self.min_premium: # 隐含波动率相比历史波动率具有一定溢价 return True else: return False def close_signal_ivhv(self): dt_date = self.optionset.eval_date amt_premium = self.df_vol.loc[dt_date, 'amt_premium'] if amt_premium <= self.min_premium: return True else: return False def close_signal_maturity(self): dt_maturity = None for option in self.account.dict_holding.values(): if isinstance(option, BaseOption) and option is not None: dt_maturity = option.maturitydt() break if (dt_maturity - self.optionset.eval_date).days <= self.n_close_by_maturity: return True else: return False def strategy(self): return self.short_straddle() def short_straddle(self): maturity = self.optionset.select_maturity_date( nbr_maturity=self.nbr_maturity, min_holding=self.min_holding) list_atm_call, list_atm_put = self.optionset.get_options_list_by_moneyness_mthd1( moneyness_rank=self.moneyness_rank, maturity=maturity, cd_price=self.cd_price) atm_call = self.optionset.select_higher_volume(list_atm_call) atm_put = self.optionset.select_higher_volume(list_atm_put) if atm_call is None or atm_put is None: return else: return [atm_call, atm_put] def excute(self, strategy): if strategy is None: return False else: pv = self.account.portfolio_total_value self.option_holding = {} for option in strategy: unit = np.floor( np.floor(pv / option.strike()) / option.multiplier()) * self.m_notional order = self.account.create_trade_order( option, c.LongShort.SHORT, unit, cd_trade_price=self.cd_option_price) record = option.execute_order(order, slippage_rate=self.slippage) self.account.add_record(record, option) self.option_holding.update({option: unit}) return True def close_out(self): close_out_orders = self.account.creat_close_out_order( cd_trade_price=c.CdTradePrice.CLOSE) for order in close_out_orders: execution_record = self.account.dict_holding[order.id_instrument] \ .execute_order(order, slippage_rate=self.slippage, execute_type=c.ExecuteType.EXECUTE_ALL_UNITS) self.account.add_record( execution_record, self.account.dict_holding[order.id_instrument]) def close_out_1(self): for option in self.account.dict_holding.values(): if isinstance(option, BaseOption): order = self.account.create_close_order( option, cd_trade_price=self.cd_option_price) else: order = self.account.create_close_order( option, cd_trade_price=self.cd_future_price) record = option.execute_order(order, slippage_rate=self.slippage) self.account.add_record(record, option) # TODO: Use Delta Bound Model def delta_hedge(self): option1 = list(self.option_holding.keys())[0] iv_htbr = self.optionset.get_iv_by_otm_iv_curve( dt_maturity=option1.maturitydt(), strike=option1.applicable_strike()) options_delta = 0 for option in self.option_holding.keys(): unit = self.option_holding[option] options_delta += unit * option.get_delta( iv_htbr) * option.multiplier() hedge_unit = self.hedging.get_hedge_rebalancing_unit( options_delta, c.BuyWrite.WRITE) self.hedging.synthetic_unit += -hedge_unit if hedge_unit > 0: long_short = c.LongShort.LONG else: long_short = c.LongShort.SHORT order_u = self.account.create_trade_order( self.hedging, long_short, hedge_unit, cd_trade_price=self.cd_future_price) record_u = self.hedging.execute_order(order_u, slippage_rate=self.slippage) self.account.add_record(record_u, self.hedging) # print('') def back_test(self): empty_position = True while self.optionset.eval_date <= self.end_date: # if self.optionset.eval_date == datetime.date(2017, 1, 19): # print('') if self.optionset.eval_date >= self.end_date: # Final close out all. self.close_out() self.account.daily_accounting(self.optionset.eval_date) print(self.optionset.eval_date, ' close out ') print( self.optionset.eval_date, self.hedging.eval_date, self.account.account.loc[self.optionset.eval_date, c.Util.PORTFOLIO_NPV], int(self.account.cash)) break # 标的移仓换月 if self.hedging.close_old_contract_month( self.account, self.slippage, cd_price=self.cd_future_price): self.hedging.synthetic_unit = 0 # 平仓 if not empty_position: if self.close_signal(): self.close_out_1() self.hedging.synthetic_unit = 0 empty_position = True # 开仓 if empty_position and self.open_signal(): s = self.strategy() empty_position = not self.excute(s) # Delta hedge if not empty_position: self.delta_hedge() self.account.daily_accounting(self.optionset.eval_date) if not self.optionset.has_next(): break self.optionset.next() self.hedging.next() return self.account