initial_volatility = volatility #not the variance, this is the square root of the variance volatility_volatility = 0.0 rho = 0.0 kappa = 0.0 theta = 0.0 points = points underlying_heston_I = [Heston.Heston(rfir=rfir,current_price=current_price,initial_volatility=initial_volatility,volatility_volatility=volatility_volatility,rho=rho,kappa=kappa,theta=theta)] underlying_heston_II = [Heston.Heston(rfir=rfir,current_price=current_price,initial_volatility=initial_volatility,volatility_volatility=volatility_volatility,rho=rho,kappa=kappa,theta=theta)] underlying_heston_III = [Heston.Heston(rfir=rfir,current_price=current_price,initial_volatility=initial_volatility,volatility_volatility=volatility_volatility,rho=rho,kappa=kappa,theta=theta)] underlying_heston_IV = [Heston.Heston(rfir=rfir,current_price=current_price,initial_volatility=initial_volatility,volatility_volatility=volatility_volatility,rho=rho,kappa=kappa,theta=theta)] underlying_heston_V = [Heston.Heston(rfir=rfir,current_price=current_price,initial_volatility=initial_volatility,volatility_volatility=volatility_volatility,rho=rho,kappa=kappa,theta=theta)] underlying_heston_VI = [Heston.Heston(rfir=rfir,current_price=current_price,initial_volatility=initial_volatility,volatility_volatility=volatility_volatility,rho=rho,kappa=kappa,theta=theta)] underlying_black_scholes_VII = [Black_Scholes.Black_Scholes(rfir=rfir,current_price=current_price,volatility=volatility)] if(option_number=="1"): derivative.append(European_Option.European_Option(underlying_heston_II,call=call,strike_price=strike_price,time_period=time_period,points=points)) elif((option_number=="2")or(option_number=="3")or(option_number=="11")): if(option_number=="2"): derivative.append(Barrier_Option.Barrier_Option(underlying_heston_II,call=call,strike_price=strike_price,time_period=time_period,points=points,out=out,barrier=barrier,down=down)) elif(option_number=="3"): derivative.append(Barrier_Option.Barrier_Option(underlying_heston_IV,call=call,strike_price=strike_price,time_period=time_period,points=points,out=out,barrier=barrier,down=down)) elif(option_number=="11"): derivative.append(Barrier_Option.Barrier_Option(underlying_heston_I,call=call,strike_price=strike_price,time_period=time_period,points=points,out=out,barrier=barrier,down=down)) elif(option_number=="12"): derivative.append(Digital_Double_Barrier_Option.Digital_Double_Barrier_Option(underlying_heston_IV,call=call,strike_price=strike_price,time_period=time_period,points=points,out=out,barrier=barrier,down=down,second_barrier=second_barrier)) elif(option_number=="13"): derivative.append(Asian_Option.Asian_Option(underlying_black_scholes_VII,call=call,strike_price=strike_price,time_period=time_period,points=points)) else: if(option_number=="4"): derivative.append(Double_Barrier_Option.Double_Barrier_Option(underlying_heston_III,call=call,strike_price=strike_price,time_period=time_period,points=points,out=out,barrier=barrier,down=down,second_barrier=second_barrier)) elif(option_number=="5"): derivative.append(Double_Barrier_Option.Double_Barrier_Option(underlying_heston_I,call=call,strike_price=strike_price,time_period=time_period,points=points,out=out,barrier=barrier,down=down,second_barrier=second_barrier)) elif(option_number=="6"): derivative.append(Double_Barrier_Option.Double_Barrier_Option(underlying_heston_IV,call=call,strike_price=strike_price,time_period=time_period,points=points,out=out,barrier=barrier,down=down,second_barrier=second_barrier)) elif(option_number=="7"): derivative.append(Double_Barrier_Option.Double_Barrier_Option(underlying_heston_V,call=call,strike_price=strike_price,time_period=time_period,points=points,out=out,barrier=barrier,down=down,second_barrier=second_barrier))
def generate_option(seed=1234,underlying_type="underlying",option_type="option",rfir_range=(0.0,0.1),current_price_range=(100,100),volatility_range=(0.0384,0.15),volatility_volatility_range=(0.425,1.0),rho_range=(-0.4644,0),kappa_range=(0.5,2.75),theta_range=(0.035,0.35),strike_price_range=(90,120),time_period_range=(1.0,5.0),barrier_range=(110,150),second_barrier_range=(66,90)):
numpy.random.seed(int(seed))
#Underlying
rfir = numpy.random.random()*abs(rfir_range[1]-rfir_range[0]) + rfir_range[0]
current_price = 100 #numpy.random.randint(current_price_range[0],current_price_range[1])
#Underlying Type
underlying_type_code = numpy.random.randint(0,13)
if(underlying_type_code == 0 and underlying_type=="underlying"): underlying_type = "black_scholes"
elif(underlying_type=="underlying"): underlying_type = "heston"
if(underlying_type=="black_scholes"):
volatility = numpy.random.random()*abs(volatility_range[1]-volatility_range[0]) + volatility_range[0]
underlying = Black_Scholes.Black_Scholes(rfir,current_price,volatility)
elif(underlying_type=="heston"):
initial_volatility = numpy.random.random()*abs(volatility_range[1]-volatility_range[0]) + volatility_range[0]
volatility_volatility = numpy.random.random()*abs(volatility_volatility_range[1]-volatility_volatility_range[0]) + volatility_volatility_range[0]
rho = numpy.random.random()*abs(rho_range[1]-rho_range[0]) + rho_range[0]
kappa = numpy.random.random()*abs(kappa_range[1]-kappa_range[0]) + kappa_range[0]
theta = numpy.random.random()*abs(theta_range[1]-theta_range[0]) + theta_range[0]
underlying = Heston.Heston(rfir,current_price,initial_volatility,volatility_volatility,rho,kappa,theta)
else:
underlying = Underlying.Underlying(rfir,current_price)
#Option
strike_price = numpy.random.randint(strike_price_range[0],strike_price_range[1])
time_period = numpy.random.randint(time_period_range[0],time_period_range[1])
call = numpy.random.randint(0,2)
#Option Type
option_type_code = numpy.random.randint(0,13)
if(option_type=="option"):
if(option_type_code == 0): option_type = "european"
elif(0 < option_type_code < 4): option_type = "barrier"
elif(3 < option_type_code < 11): option_type = "double_barrier"
elif(option_type_code == 11): option_type = "digital_double_barrier"
elif(option_type_code == 12): option_type = "asian"
if(option_type=="european"):
option = European_Option.European_Option([underlying],time_period,call,strike_price)
elif(option_type=="asian"):
points = 4096
option = Asian_Option.Asian_Option([underlying],time_period,call,strike_price,points)
elif(option_type=="barrier"):
points = 4096
barrier = numpy.random.randint(barrier_range[0],barrier_range[1])
out = int(numpy.random.randint(0,3)>0)
down = int(barrier<current_price)
option = Barrier_Option.Barrier_Option([underlying],time_period,call,strike_price,points,barrier,out,down)
elif(option_type=="double_barrier"):
points = 4096
second_barrier = numpy.random.randint(barrier_range[0],barrier_range[1])
barrier = numpy.random.randint(second_barrier_range[0],second_barrier_range[1])
out = int(numpy.random.randint(0,9)>0)
down = 1.0
option = Double_Barrier_Option.Double_Barrier_Option([underlying],time_period,call,strike_price,points,barrier,out,down,second_barrier)
elif(option_type=="digital_double_barrier"):
points = 4096
second_barrier = numpy.random.randint(barrier_range[0],barrier_range[1])
barrier = numpy.random.randint(second_barrier_range[0],second_barrier_range[1])
out = int(numpy.random.randint(0,9)>0)
down = 1.0
option = Digital_Double_Barrier_Option.Digital_Double_Barrier_Option([underlying],time_period,call,strike_price,points,barrier,out,down,second_barrier)
else:
option = Option.Option([underlying],time_period,call,strike_price)
return option
initial_volatility=initial_volatility,
volatility_volatility=volatility_volatility,
rho=rho,
kappa=kappa,
theta=theta)
]
underlying_black_scholes_VII = [
Black_Scholes.Black_Scholes(rfir=rfir,
current_price=current_price,
volatility=volatility)
]
if (option_number == "1"):
derivative.append(
European_Option.European_Option(underlying_heston_II,
call=call,
strike_price=strike_price,
time_period=time_period))
elif ((option_number == "2") or (option_number == "3")
or (option_number == "11")):
if (option_number == "2"):
derivative.append(
Barrier_Option.Barrier_Option(underlying_heston_II,
call=call,
strike_price=strike_price,
time_period=time_period,
points=points,
out=out,
barrier=barrier,
down=down))
elif (option_number == "3"):
if (__name__ == '__main__' and len(sys.argv) > 3):
platform_name = sys.argv[1]
platform_arg = sys.argv[2]
paths = int(sys.argv[3])
underlying_I = Black_Scholes.Black_Scholes(rfir=0.12,
current_price=52,
volatility=0.30)
underlying_II = Black_Scholes.Black_Scholes(rfir=0.06,
current_price=90,
volatility=0.20)
options = [
European_Option.European_Option([underlying_I],
call=1.0,
strike_price=50,
time_period=0.25),
European_Option.European_Option([underlying_II],
call=1.0,
strike_price=95,
time_period=1.00),
Barrier_Option.Barrier_Option([underlying_I],
call=1.0,
strike_price=50,
time_period=0.25,
barrier=100,
out=1.0,
down=0.0,
points=int(252 * 0.25)),
Barrier_Option.Barrier_Option([underlying_II],
call=True,
theta = 0.035 #Kaiserslatuarn Option Number 5 strike_price = 90 barrier = 80.0 second_barrier = 120 out = 1.0 call = 1.0 down = 0.0 parameter_set = "I" reference_value = 5.7576 underlying = [Heston.Heston(rfir=rfir,current_price=current_price,initial_volatility=initial_volatility,volatility_volatility=volatility_volatility,rho=rho,kappa=kappa,theta=theta)] #option = [Double_Barrier_Option.Double_Barrier_Option(underlying,call=call,strike_price=strike_price,time_period=time_period,points=points,out=out,barrier=barrier,second_barrier=second_barrier,down=down)] option = [European_Option.European_Option(underlying,call=call,strike_price=strike_price,time_period=time_period,points=points)] multicore_cpu_platform = MulticoreCPU.MulticoreCPU(threads) mc_solver = MulticoreCPU_MonteCarlo.MulticoreCPU_MonteCarlo(option,paths,multicore_cpu_platform) mc_solver.generate() compile_output = mc_solver.compile() latency_error_plot = [] confidence_interval_error_plot = [] for i in range(1,11): #Speculative Step speculative_paths = 1000*i mc_solver.solver_metadata["paths"] = speculative_paths execution_output = mc_solver.execute()
volatility_volatility = 0.425 rho = -0.4644 kappa = 2.75 theta = 0.035 #Kaiserslatuarn Option Number 5 strike_price = 90 barrier = 80.0 second_barrier = 120 out = 1.0 call = 1.0 down = 0.0 parameter_set = "I" reference_value = 5.7576 #underlying = [Underlying.Underlying(rfir,current_price)] #option = [Option.Option(underlying,time_period,call,strike_price)] underlying = [Heston.Heston(rfir=rfir,current_price=current_price,initial_volatility=initial_volatility,volatility_volatility=volatility_volatility,rho=rho,kappa=kappa,theta=theta)] option = [Double_Barrier_Option.Double_Barrier_Option(underlying,call=call,strike_price=strike_price,time_period=time_period,points=points,out=out,barrier=barrier,second_barrier=second_barrier,down=down)] option.append(European_Option.European_Option(underlying,call=call,strike_price=strike_price,time_period=time_period)) multicore_cpu_platform = MulticoreCPU.MulticoreCPU() mc_solver = MulticoreCPU_MonteCarlo.MulticoreCPU_MonteCarlo(option,paths,multicore_cpu_platform) mc_solver.generate() compile_output = mc_solver.compile() execution_output = mc_solver.execute() print execution_output
def KS_Options(option_numbers=[]):
derivative = []
for i in option_numbers:
option_number = str(i)
call = 1.0
down = 0.0
if(option_number=="1"):
#Kaiserslatuarn Option Number 1
strike_price = 100
parameter_set = "II"
reference_value = 34.9998
elif(option_number=="2"):
#Kaiserslatuarn Option Number 2
strike_price = 100
barrier = 120.0
out = 1.0
down = 0.0
parameter_set = "II"
reference_value = 0.10280
elif(option_number=="3"):
#Kaiserslatuarn Option Number 3
strike_price = 100
barrier = 120.0
out = 1.0
down = 0.0
parameter_set = "IV"
reference_value = 0.31606
elif(option_number=="4"):
#Kaiserslatuarn Option Number 4
strike_price = 100
barrier = 90.0
second_barrier = 110
out = 1.0
parameter_set = "III"
reference_value = 0.74870
elif(option_number=="5"):
#Kaiserslatuarn Option Number 5
strike_price = 90
barrier = 80.0
second_barrier = 120
out = 1.0
parameter_set = "I"
reference_value = 5.7576
elif(option_number=="6"):
#Kaiserslatuarn Option Number 6
strike_price = 100
barrier = 66
second_barrier = 150
out = 1.0
parameter_set = "IV"
reference_value = 3.0421
elif(option_number=="7"):
#Kaiserslatuarn Option Number 7
strike_price = 90
barrier = 66
second_barrier = 150
out = 1.0
parameter_set = "V"
reference_value = 0.017117
elif(option_number=="8"):
#Kaiserslatuarn Option Number 8
strike_price = 100
barrier = 66
second_barrier = 150
out = 1.0
parameter_set = "VI"
reference_value = 0.82286
elif(option_number=="9"):
#Kaiserslatuarn Option Number 9
strike_price = 100
barrier = 80
second_barrier = 120
out = 1.0
call = 0.0
parameter_set = "I"
reference_value = 1.5294
elif(option_number=="10"):
#Kaiserslatuarn Option Number 10
strike_price = 120
barrier = 66
second_barrier = 150
out = 1.0
parameter_set = "VI"
reference_value = 0.17167
elif(option_number=="11"):
#Kaiserslatuarn Option Number 11
strike_price = 100
barrier = 120.0
out = 0.0
down = 0.0
parameter_set = "I"
reference_value = 4.9783
elif(option_number=="12"):
#Kaiserslatuarn Option Number 12
strike_price = 100
barrier = 66.0
second_barrier = 150.0
out = 1.0
down = 0.0
parameter_set = "IV"
reference_value = 0.16805
elif(option_number=="13"):
strike_price = 105
parameter_set = "VII"
reference_value = 21.107505918279124 #26.090881
current_price = 100
if(parameter_set=="I"):
#Kaiserslatuarn Parameter set I
rfir = 0
volatility = 0.0384
time_period = 1
initial_volatility = volatility #not the variance, this is the square root of the variance
volatility_volatility = 0.425
rho = -0.4644
kappa = 2.75
theta = 0.035
elif(parameter_set=="II"):
#Kaiserslatuarn Parameter set II
rfir = 0.05
volatility = 0.09
time_period = 5
initial_volatility = volatility #not the variance, this is the square root of the variance
volatility_volatility = 1
rho = -0.3
kappa = 2
theta = 0.09
elif(parameter_set=="III"):
#Kaiserslatuarn Parameter set III
rfir = 0
volatility = 0.04
time_period = 1
initial_volatility = volatility #not the variance, this is the square root of the variance
volatility_volatility = 1
rho = 0
kappa = 0.5
theta = 0.04
elif(parameter_set=="IV"):
#Kaiserslatuarn Parameter set IV
rfir = 0
volatility = 0.09
time_period = 5
initial_volatility = volatility #not the variance, this is the square root of the variance
volatility_volatility = 1
rho = -0.3
kappa = 1
theta = 0.09
elif(parameter_set=="V"):
#Kaiserslatuarn Parameter set V
rfir = 0.08
volatility = 0.04
time_period = 10
initial_volatility = volatility #not the variance, this is the square root of the variance
volatility_volatility = 1
rho = -0.9
kappa = 0.5
theta = 0.04
elif(parameter_set=="VI"):
#Kaiserslatuarn Parameter set VI
rfir = 0
volatility = 0.384
time_period = 1
initial_volatility = volatility #not the variance, this is the square root of the variance
volatility_volatility = 0.425
rho = -0.4644
kappa = 2.75
theta = 0.35
elif(parameter_set=="VII"):
#Asian Option Parameter Set
rfir = 0.1
volatility = 0.15
time_period = 10
initial_volatility = volatility #not the variance, this is the square root of the variance
volatility_volatility = 0.0
rho = 0.0
kappa = 0.0
theta = 0.0
points = 4096
#points = time_period*252 #Its assumed that there is a point for every trading day
underlying_heston_I = [Heston.Heston(rfir=rfir,current_price=current_price,initial_volatility=initial_volatility,volatility_volatility=volatility_volatility,rho=rho,kappa=kappa,theta=theta)]
underlying_heston_II = [Heston.Heston(rfir=rfir,current_price=current_price,initial_volatility=initial_volatility,volatility_volatility=volatility_volatility,rho=rho,kappa=kappa,theta=theta)]
underlying_heston_III = [Heston.Heston(rfir=rfir,current_price=current_price,initial_volatility=initial_volatility,volatility_volatility=volatility_volatility,rho=rho,kappa=kappa,theta=theta)]
underlying_heston_IV = [Heston.Heston(rfir=rfir,current_price=current_price,initial_volatility=initial_volatility,volatility_volatility=volatility_volatility,rho=rho,kappa=kappa,theta=theta)]
underlying_heston_V = [Heston.Heston(rfir=rfir,current_price=current_price,initial_volatility=initial_volatility,volatility_volatility=volatility_volatility,rho=rho,kappa=kappa,theta=theta)]
underlying_heston_VI = [Heston.Heston(rfir=rfir,current_price=current_price,initial_volatility=initial_volatility,volatility_volatility=volatility_volatility,rho=rho,kappa=kappa,theta=theta)]
underlying_black_scholes_VII = [Black_Scholes.Black_Scholes(rfir=rfir,current_price=current_price,volatility=volatility)]
if(option_number=="1"): derivative.append(European_Option.European_Option(underlying_heston_II,call=call,strike_price=strike_price,time_period=time_period))
elif((option_number=="2")or(option_number=="3")or(option_number=="11")):
if(option_number=="2"): derivative.append(Barrier_Option.Barrier_Option(underlying_heston_II,call=call,strike_price=strike_price,time_period=time_period,points=points,out=out,barrier=barrier,down=down))
elif(option_number=="3"): derivative.append(Barrier_Option.Barrier_Option(underlying_heston_IV,call=call,strike_price=strike_price,time_period=time_period,points=points,out=out,barrier=barrier,down=down))
elif(option_number=="11"): derivative.append(Barrier_Option.Barrier_Option(underlying_heston_I,call=call,strike_price=strike_price,time_period=time_period,points=points,out=out,barrier=barrier,down=down))
elif(option_number=="12"): derivative.append(Digital_Double_Barrier_Option.Digital_Double_Barrier_Option(underlying_heston_IV,call=call,strike_price=strike_price,time_period=time_period,points=points,out=out,barrier=barrier,down=down,second_barrier=second_barrier))
elif(option_number=="13"): derivative.append(Asian_Option.Asian_Option(underlying_black_scholes_VII,call=call,strike_price=strike_price,time_period=time_period,points=points))
else:
if(option_number=="4"): derivative.append(Double_Barrier_Option.Double_Barrier_Option(underlying_heston_III,call=call,strike_price=strike_price,time_period=time_period,points=points,out=out,barrier=barrier,down=down,second_barrier=second_barrier))
elif(option_number=="5"): derivative.append(Double_Barrier_Option.Double_Barrier_Option(underlying_heston_I,call=call,strike_price=strike_price,time_period=time_period,points=points,out=out,barrier=barrier,down=down,second_barrier=second_barrier))
elif(option_number=="6"): derivative.append(Double_Barrier_Option.Double_Barrier_Option(underlying_heston_IV,call=call,strike_price=strike_price,time_period=time_period,points=points,out=out,barrier=barrier,down=down,second_barrier=second_barrier))
elif(option_number=="7"): derivative.append(Double_Barrier_Option.Double_Barrier_Option(underlying_heston_V,call=call,strike_price=strike_price,time_period=time_period,points=points,out=out,barrier=barrier,down=down,second_barrier=second_barrier))
elif(option_number=="8"): derivative.append(Double_Barrier_Option.Double_Barrier_Option(underlying_heston_VI,call=call,strike_price=strike_price,time_period=time_period,points=points,out=out,barrier=barrier,down=down,second_barrier=second_barrier))
elif(option_number=="9"): derivative.append(Double_Barrier_Option.Double_Barrier_Option(underlying_heston_I,call=call,strike_price=strike_price,time_period=time_period,points=points,out=out,barrier=barrier,down=down,second_barrier=second_barrier))
elif(option_number=="10"): derivative.append(Double_Barrier_Option.Double_Barrier_Option(underlying_heston_VI,call=call,strike_price=strike_price,time_period=time_period,points=points,out=out,barrier=barrier,down=down,second_barrier=second_barrier))
return derivative