def test_up_and_in_call():
option_type = EquityBarrierTypes.UP_AND_IN_CALL
option = EquityBarrierOption(expiry_date, K, option_type, B,
num_observations_per_year)
value = option.value(valuation_date, stock_price, discount_curve,
dividend_curve, model)
assert round(value, 4) == 1.3519
model_params = (stock_price, drift, volatility, scheme)
value_mc = option.value_mc(valuation_date, stock_price, discount_curve,
dividend_curve, process_type, model_params)
assert round(value_mc, 4) == 1.4426
def test_up_and_out_put():
option_type = EquityBarrierTypes.UP_AND_OUT_PUT
option = EquityBarrierOption(expiry_date, K, option_type, B,
num_observations_per_year)
value = option.value(valuation_date, stock_price, discount_curve,
dividend_curve, model)
assert round(value, 4) == 18.1445
model_params = (stock_price, drift, volatility, scheme)
value_mc = option.value_mc(valuation_date, stock_price, discount_curve,
dividend_curve, process_type, model_params)
assert round(value_mc, 4) == 17.8602
def test_down_and_in_put():
option_type = EquityBarrierTypes.DOWN_AND_IN_PUT
option = EquityBarrierOption(expiry_date, K, option_type, B,
num_observations_per_year)
value = option.value(valuation_date, stock_price, discount_curve,
dividend_curve, model)
assert round(value, 4) == 18.2378
model_params = (stock_price, drift, volatility, scheme)
value_mc = option.value_mc(valuation_date, stock_price, discount_curve,
dividend_curve, process_type, model_params)
assert round(value_mc, 4) == 17.9996
def test_EquityBarrierOption():
valuation_date = Date(1, 1, 2015)
expiry_date = Date(1, 1, 2016)
stock_price = 100.0
volatility = 0.20
interest_rate = 0.05
dividend_yield = 0.02
option_type = EquityBarrierTypes.DOWN_AND_OUT_CALL
drift = interest_rate - dividend_yield
scheme = FinGBMNumericalScheme.NORMAL
process_type = FinProcessTypes.GBM
discount_curve = DiscountCurveFlat(valuation_date, interest_rate)
dividend_curve = DiscountCurveFlat(valuation_date, dividend_yield)
model = BlackScholes(volatility)
#######################################################################
import time
start = time.time()
num_observations_per_year = 100
testCases.header(
"Type",
"K",
"B",
"S:",
"Value:",
"ValueMC",
"Diff",
"TIME")
for option_type in EquityBarrierTypes:
for stock_price in range(80, 120, 10):
B = 110.0
K = 100.0
option = EquityBarrierOption(
expiry_date, K, option_type, B, num_observations_per_year)
value = option.value(
valuation_date,
stock_price,
discount_curve,
dividend_curve,
model)
start = time.time()
model_params = (stock_price, drift, volatility, scheme)
value_mc = option.value_mc(valuation_date,
stock_price,
discount_curve,
dividend_curve,
process_type,
model_params)
end = time.time()
time_elapsed = round(end - start, 3)
diff = value_mc - value
testCases.print(
option_type,
K,
B,
stock_price,
value,
value_mc,
diff,
time_elapsed)
for stock_price in range(80, 120, 10):
B = 100.0
K = 110.0
option = EquityBarrierOption(
expiry_date, K, option_type, B, num_observations_per_year)
value = option.value(
valuation_date,
stock_price,
discount_curve,
dividend_curve,
model)
start = time.time()
model_params = (stock_price, drift, volatility, scheme)
value_mc = option.value_mc(
valuation_date,
stock_price,
discount_curve,
dividend_curve,
process_type,
model_params)
end = time.time()
time_elapsed = round(end - start, 3)
diff = value_mc - value
testCases.print(
option_type,
K,
B,
stock_price,
value,
value_mc,
diff,
time_elapsed)
end = time.time()
##########################################################################
stock_prices = range(50, 150, 50)
B = 105.0
testCases.header("Type", "K", "B", "S:", "Value", "Delta", "Vega", "Theta")
for option_type in EquityBarrierTypes:
for stock_price in stock_prices:
barrier_option = EquityBarrierOption(
expiry_date, 100.0, option_type, B, num_observations_per_year)
value = barrier_option.value(
valuation_date,
stock_price,
discount_curve,
dividend_curve,
model)
delta = barrier_option.delta(
valuation_date,
stock_price,
discount_curve,
dividend_curve,
model)
vega = barrier_option.vega(
valuation_date,
stock_price,
discount_curve,
dividend_curve,
model)
theta = barrier_option.theta(
valuation_date,
stock_price,
discount_curve,
dividend_curve,
model)
testCases.print(
option_type,
K,
B,
stock_price,
value,
delta,
vega,
theta)