def clean_price(self):
ws = 1.0 if (self.otype[0].upper() == 'C') else -1.0
n = len(self.fixing_dates)
m = len(self.past_fix)
if n == m:
return max((self.past_avg - self.strike) * ws, 0.0)
strike = (self.strike * n - self.past_avg * m) / float(n - m)
if strike < 0:
return max(
(self.past_avg * m + self.fwd_avg *
(n - m)) / float(n) - self.strike, 0) if ws > 0 else 0.0
volnode = cmq_volgrid.Delta5VolNode( self.value_date, \
self.volmark['expiry'], \
self.fwd_avg, \
self.volmark['COMVolATM'], \
self.volmark['COMVolV90'], \
self.volmark['COMVolV75'], \
self.volmark['COMVolV25'], \
self.volmark['COMVolV10'], \
"act365")
ivol = volnode.GetVolByStrike(strike, self.end)
cal_str = cmq_crv_defn.COM_Curve_Map[
self.fwd_index]['calendar'] + '_Holidays'
hols = getattr(misc, cal_str)
tau = misc.conv_expiry_date(self.value_date + datetime.timedelta(days = int(self.eod_flag)), \
self.start - datetime.timedelta(days=1), \
self.accrual, hols)
t_exp = misc.conv_expiry_date(self.value_date + datetime.timedelta(days = int(self.eod_flag)), \
self.end, self.accrual, hols)
vol_adj = bsopt.asian_vol_adj(ivol, t_exp, tau)
pr = bsopt.BSFwd((ws > 0), self.fwd_avg, strike, vol_adj, t_exp,
0) * self.df * float(n - m) / float(n)
return pr
def clean_price(self):
if self.value_date > self.end:
return 0.0
ws = 1.0 if (self.otype[0].upper() == 'C') else -1.0
n = len(self.fixing_dates)
m = len(self.past_fix)
if n == m:
return max((self.past_avg - self.strike) * ws, 0.0)
strike = (self.strike * n - self.past_avg * m)/float(n - m)
if strike < 0:
return max((self.past_avg * m + self.fwd_avg * (n - m))/float(n) - self.strike, 0) if ws > 0 else 0.0
volnode = cmq_volgrid.Delta5VolNode( self.value_date, \
self.volmark['expiry'], \
self.fwd_avg, \
self.volmark['COMVolATM'], \
self.volmark['COMVolV90'], \
self.volmark['COMVolV75'], \
self.volmark['COMVolV25'], \
self.volmark['COMVolV10'], \
"act365")
ivol = volnode.GetVolByStrike( strike, self.end)
cal_str = cmq_crv_defn.COM_Curve_Map[self.fwd_index]['calendar'] + '_Holidays'
hols = getattr(misc, cal_str)
tau = misc.conv_expiry_date(self.value_date + datetime.timedelta(days = int(self.eod_flag)), \
self.start - datetime.timedelta(days=1), \
self.accrual, hols)
t_exp = misc.conv_expiry_date(self.value_date + datetime.timedelta(days = int(self.eod_flag)), \
self.end, self.accrual, hols)
vol_adj = bsopt.asian_vol_adj(ivol, t_exp, tau)
pr = bsopt.BSFwd((ws>0), self.fwd_avg, strike, vol_adj, t_exp, 0) * self.df * float(n - m) / float(n)
return pr
def initialize(self):
self.tau = max(0.0, self.calc_texp(datetime.date(self.exp_date.year, self.exp_date.month, 1) \
- datetime.timedelta(days=1)))
self.vol_adj = bsopt.asian_vol_adj(self.atm, self.time2exp, self.tau)
super(AsianDelta5VolNode, self).initialize()