def test_FinBinomialTree():
stock_price = 50.0
riskFreeRate = 0.06
dividendYield = 0.04
volatility = 0.40
valuation_date = Date(1, 1, 2016)
expiry_date = Date(1, 1, 2017)
model = FinModelBlackScholes(volatility)
discount_curve = DiscountCurveFlat(valuation_date, riskFreeRate)
dividendCurve = DiscountCurveFlat(valuation_date, dividendYield)
num_stepsList = [100, 500, 1000, 2000, 5000]
strikePrice = 50.0
testCases.banner("================== EUROPEAN PUT =======================")
putOption = FinEquityVanillaOption(expiry_date, strikePrice,
FinOptionTypes.EUROPEAN_PUT)
value = putOption.value(valuation_date, stock_price, discount_curve,
dividendCurve, model)
delta = putOption.delta(valuation_date, stock_price, discount_curve,
dividendCurve, model)
gamma = putOption.gamma(valuation_date, stock_price, discount_curve,
dividendCurve, model)
theta = putOption.theta(valuation_date, stock_price, discount_curve,
dividendCurve, model)
testCases.header("BS Value", "BS Delta", "BS Gamma", "BS Theta")
testCases.print(value, delta, gamma, theta)
payoff = FinEquityTreePayoffTypes.VANILLA_OPTION
exercise = FinEquityTreeExerciseTypes.EUROPEAN
params = np.array([-1, strikePrice])
testCases.header("NumSteps", "Results", "TIME")
for num_steps in num_stepsList:
start = time.time()
tree = FinEquityBinomialTree()
results = tree.value(stock_price, discount_curve, dividendCurve,
volatility, num_steps, valuation_date, payoff,
expiry_date, payoff, exercise, params)
end = time.time()
duration = end - start
testCases.print(num_steps, results, duration)
testCases.banner("================== AMERICAN PUT =======================")
payoff = FinEquityTreePayoffTypes.VANILLA_OPTION
exercise = FinEquityTreeExerciseTypes.AMERICAN
params = np.array([-1, strikePrice])
testCases.header("NumSteps", "Results", "TIME")
for num_steps in num_stepsList:
start = time.time()
tree = FinEquityBinomialTree()
results = tree.value(stock_price, discount_curve, dividendCurve,
volatility, num_steps, valuation_date, payoff,
expiry_date, payoff, exercise, params)
end = time.time()
duration = end - start
testCases.print(num_steps, results, duration)
testCases.banner(
"================== EUROPEAN CALL =======================")
callOption = FinEquityVanillaOption(expiry_date, strikePrice,
FinOptionTypes.EUROPEAN_CALL)
value = callOption.value(valuation_date, stock_price, discount_curve,
dividendCurve, model)
delta = callOption.delta(valuation_date, stock_price, discount_curve,
dividendCurve, model)
gamma = callOption.gamma(valuation_date, stock_price, discount_curve,
dividendCurve, model)
theta = callOption.theta(valuation_date, stock_price, discount_curve,
dividendCurve, model)
testCases.header("BS Value", "BS Delta", "BS Gamma", "BS Theta")
testCases.print(value, delta, gamma, theta)
payoff = FinEquityTreePayoffTypes.VANILLA_OPTION
exercise = FinEquityTreeExerciseTypes.EUROPEAN
params = np.array([1.0, strikePrice])
testCases.header("NumSteps", "Results", "TIME")
for num_steps in num_stepsList:
start = time.time()
tree = FinEquityBinomialTree()
results = tree.value(stock_price, discount_curve, dividendCurve,
volatility, num_steps, valuation_date, payoff,
expiry_date, payoff, exercise, params)
end = time.time()
duration = end - start
testCases.print(num_steps, results, duration)
testCases.banner(
"================== AMERICAN CALL =======================")
payoff = FinEquityTreePayoffTypes.VANILLA_OPTION
exercise = FinEquityTreeExerciseTypes.AMERICAN
params = np.array([1.0, strikePrice])
testCases.header("NumSteps", "Results", "TIME")
for num_steps in num_stepsList:
start = time.time()
tree = FinEquityBinomialTree()
results = tree.value(stock_price, discount_curve, dividendCurve,
volatility, num_steps, valuation_date, payoff,
expiry_date, payoff, exercise, params)
end = time.time()
duration = end - start
testCases.print(num_steps, results, duration)
def test_FinEquityVanillaOption():
valueDate = FinDate(1, 1, 2015)
expiryDate = FinDate(1, 7, 2015)
stockPrice = 100
volatility = 0.30
interestRate = 0.05
dividendYield = 0.01
model = FinModelBlackScholes(volatility)
discountCurve = FinDiscountCurveFlat(valueDate, interestRate)
dividendCurve = FinDiscountCurveFlat(valueDate, dividendYield)
numPathsList = [10000, 20000, 40000, 80000, 160000, 320000]
testCases.header("NUMPATHS", "VALUE_BS", "VALUE_MC", "TIME")
for numPaths in numPathsList:
callOption = FinEquityVanillaOption(
expiryDate, 100.0, FinOptionTypes.EUROPEAN_CALL)
value = callOption.value(valueDate, stockPrice, discountCurve,
dividendCurve, model)
start = time.time()
valueMC = callOption.valueMC(valueDate, stockPrice, discountCurve,
dividendCurve, model, numPaths)
end = time.time()
duration = end - start
testCases.print(numPaths, value, valueMC, duration)
###############################################################################
stockPrices = range(80, 120, 10)
numPaths = 100000
testCases.header("NUMPATHS", "CALL_VALUE_BS", "CALL_VALUE_MC",
"CALL_VALUE_MC_SOBOL", "TIME")
useSobol = True
for stockPrice in stockPrices:
callOption = FinEquityVanillaOption(expiryDate, 100.0,
FinOptionTypes.EUROPEAN_CALL)
value = callOption.value(valueDate, stockPrice, discountCurve,
dividendCurve, model)
start = time.time()
useSobol = False
valueMC1 = callOption.valueMC(valueDate, stockPrice, discountCurve,
dividendCurve, model, numPaths, useSobol)
useSobol = True
valueMC2 = callOption.valueMC(valueDate, stockPrice, discountCurve,
dividendCurve, model, numPaths, useSobol)
end = time.time()
duration = end - start
testCases.print(numPaths, value, valueMC1, valueMC2, duration)
###############################################################################
stockPrices = range(80, 120, 10)
numPaths = 100000
testCases.header("NUMPATHS", "PUT_VALUE_BS", "PUT_VALUE_MC",
"PUT_VALUE_MC_SOBOL", "TIME")
for stockPrice in stockPrices:
putOption = FinEquityVanillaOption(expiryDate, 100.0,
FinOptionTypes.EUROPEAN_PUT)
value = putOption.value(valueDate, stockPrice, discountCurve,
dividendCurve, model)
start = time.time()
useSobol = False
valueMC1 = putOption.valueMC(valueDate, stockPrice, discountCurve,
dividendCurve, model, numPaths, useSobol)
useSobol = True
valueMC2 = putOption.valueMC(valueDate, stockPrice, discountCurve,
dividendCurve, model, numPaths, useSobol)
end = time.time()
duration = end - start
testCases.print(numPaths, value, valueMC1, valueMC2, duration)
###############################################################################
stockPrices = range(80, 120, 10)
testCases.header("STOCK PRICE", "CALL_VALUE_BS", "CALL_DELTA_BS",
"CALL_VEGA_BS", "CALL_THETA_BS", "CALL_RHO_BS","CALL_VANNA_BS")
for stockPrice in stockPrices:
callOption = FinEquityVanillaOption(expiryDate, 100.0,
FinOptionTypes.EUROPEAN_CALL)
value = callOption.value(valueDate, stockPrice, discountCurve,
dividendCurve, model)
delta = callOption.delta(valueDate, stockPrice, discountCurve,
dividendCurve, model)
vega = callOption.vega(valueDate, stockPrice, discountCurve,
dividendCurve, model)
theta = callOption.theta(valueDate, stockPrice, discountCurve,
dividendCurve, model)
rho = callOption.rho(valueDate, stockPrice, discountCurve,
dividendCurve, model)
vanna = callOption.vanna(valueDate, stockPrice, discountCurve,
dividendCurve, model)
testCases.print(stockPrice, value, delta, vega, theta, rho, vanna)
###########################################################################
testCases.header("STOCK PRICE", "PUT_VALUE_BS", "PUT_DELTA_BS",
"PUT_VEGA_BS", "PUT_THETA_BS", "PUT_RHO_BS","PUT_VANNA_BS")
for stockPrice in stockPrices:
putOption = FinEquityVanillaOption(expiryDate, 100.0,
FinOptionTypes.EUROPEAN_PUT)
value = putOption.value(valueDate, stockPrice, discountCurve,
dividendCurve, model)
delta = putOption.delta(valueDate, stockPrice, discountCurve,
dividendCurve, model)
vega = putOption.vega(valueDate, stockPrice, discountCurve,
dividendCurve, model)
theta = putOption.theta(valueDate, stockPrice, discountCurve,
dividendCurve, model)
rho = putOption.rho(valueDate, stockPrice, discountCurve,
dividendCurve, model)
vanna = putOption.vanna(valueDate, stockPrice, discountCurve,
dividendCurve, model)
testCases.print(stockPrice, value, delta, vega, theta, rho, vanna)
def test_FinEquityVanillaOption():
valueDate = FinDate(2015, 1, 1)
expiryDate = FinDate(2015, 7, 1)
stockPrice = 100
volatility = 0.30
interestRate = 0.05
dividendYield = 0.01
model = FinEquityModelBlackScholes(volatility)
discountCurve = FinDiscountCurveFlat(valueDate, interestRate)
numPathsList = [10000, 20000, 40000, 80000, 160000, 320000]
testCases.header("NUMPATHS", "VALUE_BS", "VALUE_MC", "TIME")
for numPaths in numPathsList:
callOption = FinEquityVanillaOption(expiryDate, 100.0,
FinOptionTypes.EUROPEAN_CALL)
value = callOption.value(valueDate, stockPrice, discountCurve,
dividendYield, model)
start = time.time()
valueMC = callOption.valueMC(valueDate, stockPrice, discountCurve,
dividendYield, model, numPaths)
end = time.time()
duration = end - start
testCases.print(numPaths, value, valueMC, duration)
###############################################################################
stockPrices = range(80, 120, 2)
numPaths = 100000
testCases.header("NUMPATHS", "VALUE_BS", "VALUE_MC", "TIME")
useSobol = True
for stockPrice in stockPrices:
callOption = FinEquityVanillaOption(expiryDate, 100.0,
FinOptionTypes.EUROPEAN_CALL)
value = callOption.value(valueDate, stockPrice, discountCurve,
dividendYield, model)
start = time.time()
useSobol = False
valueMC1 = callOption.valueMC(valueDate, stockPrice, discountCurve,
dividendYield, model, numPaths, useSobol)
useSobol = True
valueMC2 = callOption.valueMC(valueDate, stockPrice, discountCurve,
dividendYield, model, numPaths, useSobol)
end = time.time()
duration = end - start
testCases.print(numPaths, value, valueMC, duration)
###############################################################################
stockPrices = range(80, 120, 2)
numPaths = 100000
testCases.header("STOCK PRICE", "VALUE_BS", "VALUE_MC", "TIME")
for stockPrice in stockPrices:
putOption = FinEquityVanillaOption(expiryDate, 100.0,
FinOptionTypes.EUROPEAN_PUT)
value = putOption.value(valueDate, stockPrice, discountCurve,
dividendYield, model)
start = time.time()
valueMC = putOption.valueMC(valueDate, stockPrice, discountCurve,
dividendYield, model, numPaths)
end = time.time()
duration = end - start
testCases.print(stockPrice, value, valueMC, duration)
###############################################################################
stockPrices = range(80, 120, 2)
testCases.header("STOCK PRICE", "VALUE_BS", "DELTA_BS", "VEGA_BS",
"THETA_BS", "RHO_BS")
for stockPrice in stockPrices:
callOption = FinEquityVanillaOption(expiryDate, 100.0,
FinOptionTypes.EUROPEAN_CALL)
value = callOption.value(valueDate, stockPrice, discountCurve,
dividendYield, model)
delta = callOption.delta(valueDate, stockPrice, discountCurve,
dividendYield, model)
vega = callOption.vega(valueDate, stockPrice, discountCurve,
dividendYield, model)
theta = callOption.theta(valueDate, stockPrice, discountCurve,
dividendYield, model)
# callOption.rho(valueDate,stockPrice, interestRate, dividendYield, modelType, modelParams)
rho = 999
testCases.print(stockPrice, value, delta, vega, theta, rho)
testCases.header("STOCK PRICE", "VALUE_BS", "DELTA_BS", "VEGA_BS",
"THETA_BS", "RHO_BS")
for stockPrice in stockPrices:
putOption = FinEquityVanillaOption(expiryDate, 100.0,
FinOptionTypes.EUROPEAN_PUT)
value = putOption.value(valueDate, stockPrice, discountCurve,
dividendYield, model)
delta = putOption.delta(valueDate, stockPrice, discountCurve,
dividendYield, model)
vega = putOption.vega(valueDate, stockPrice, discountCurve,
dividendYield, model)
theta = putOption.theta(valueDate, stockPrice, discountCurve,
dividendYield, model)
# putOption.rho(valueDate,stockPrice, interestRate, dividendYield,
# modelType, modelParams)
rho = 999
testCases.print(stockPrice, value, delta, vega, theta, rho)
###############################################################################
testCases.header("STOCK PRICE", "VALUE_BS", "VOL_IN", "IMPLD_VOL")
stockPrices = range(60, 150, 2)
for stockPrice in stockPrices:
callOption = FinEquityVanillaOption(expiryDate, 100.0,
FinOptionTypes.EUROPEAN_CALL)
value = callOption.value(valueDate, stockPrice, discountCurve,
dividendYield, model)
impliedVol = callOption.impliedVolatility(valueDate, stockPrice,
discountCurve, dividendYield,
value)
testCases.print(stockPrice, value, volatility, impliedVol)
def testFinEquityAmericanOption():
valueDate = FinDate(2016, 1, 1)
expiryDate = FinDate(2017, 1, 1)
stockPrice = 50.0
interestRate = 0.06
dividendYield = 0.04
volatility = 0.40
strikePrice = 50.0
model = FinEquityModelBlackScholes(volatility)
discountCurve = FinFlatCurve(valueDate, interestRate)
numStepsList = [1000, 2000]
testCases.banner("================== EUROPEAN PUT =======================")
putOption = FinEquityVanillaOption(
expiryDate,
strikePrice,
FinEquityOptionTypes.EUROPEAN_PUT)
value = putOption.value(
valueDate,
stockPrice,
discountCurve,
dividendYield,
model)
delta = putOption.delta(
valueDate,
stockPrice,
discountCurve,
dividendYield,
model)
gamma = putOption.gamma(
valueDate,
stockPrice,
discountCurve,
dividendYield,
model)
theta = putOption.theta(
valueDate,
stockPrice,
discountCurve,
dividendYield,
model)
testCases.header("OPTION_TYPE", "VALUE", "DELTA", "GAMMA", "THETA")
testCases.print("EUROPEAN_PUT_BS", value, delta, gamma, theta)
option = FinEquityAmericanOption(
expiryDate,
strikePrice,
FinEquityOptionTypes.EUROPEAN_PUT)
testCases.header(
"OPTION_TYPE",
"NUMSTEPS",
"VALUE DELTA GAMMA THETA",
"TIME")
for numSteps in numStepsList:
start = time.time()
results = option.value(
valueDate,
stockPrice,
discountCurve,
dividendYield,
model,
numSteps)
end = time.time()
duration = end - start
testCases.print("EUROPEAN_PUT_TREE", numSteps, results, duration)
testCases.banner("================== AMERICAN PUT =======================")
option = FinEquityAmericanOption(
expiryDate,
strikePrice,
FinEquityOptionTypes.AMERICAN_PUT)
testCases.header(
"OPTION_TYPE",
"NUMSTEPS",
"VALUE DELTA GAMMA THETA",
"TIME")
for numSteps in numStepsList:
start = time.time()
results = option.value(
valueDate,
stockPrice,
discountCurve,
dividendYield,
model,
numSteps)
end = time.time()
duration = end - start
testCases.print("AMERICAN_PUT", numSteps, results, duration)
testCases.banner(
"================== EUROPEAN CALL =======================")
callOption = FinEquityVanillaOption(
expiryDate,
strikePrice,
FinEquityOptionTypes.EUROPEAN_CALL)
value = callOption.value(
valueDate,
stockPrice,
discountCurve,
dividendYield,
model)
delta = callOption.delta(
valueDate,
stockPrice,
discountCurve,
dividendYield,
model)
gamma = callOption.gamma(
valueDate,
stockPrice,
discountCurve,
dividendYield,
model)
theta = callOption.theta(
valueDate,
stockPrice,
discountCurve,
dividendYield,
model)
testCases.header("OPTION_TYPE", "VALUE", "DELTA", "GAMMA", "THETA")
testCases.print("EUROPEAN_CALL_BS", value, delta, gamma, theta)
option = FinEquityAmericanOption(
expiryDate,
strikePrice,
FinEquityOptionTypes.EUROPEAN_CALL)
testCases.header(
"OPTION_TYPE",
"NUMSTEPS",
"VALUE DELTA GAMMA THETA",
"TIME")
for numSteps in numStepsList:
start = time.time()
results = option.value(
valueDate,
stockPrice,
discountCurve,
dividendYield,
model,
numSteps)
end = time.time()
duration = end - start
testCases.print("EUROPEAN_CALL", numSteps, results, duration)
testCases.banner(
"================== AMERICAN CALL =======================")
testCases.header(
"OPTION_TYPE",
"NUMSTEPS",
"VALUE DELTA GAMMA THETA",
"TIME")
option = FinEquityAmericanOption(
expiryDate,
strikePrice,
FinEquityOptionTypes.AMERICAN_CALL)
for numSteps in numStepsList:
start = time.time()
results = option.value(
valueDate,
stockPrice,
discountCurve,
dividendYield,
model,
numSteps)
end = time.time()
duration = end - start
testCases.print("AMERICAN_CALL", numSteps, results, duration)
