strike = option_data.get(moneyness)[1]
impliedvols.update({strike:vol})
strikes.append(strike)
data = [strikes,impliedvols,expiration_date]
data_for_optimiztion_months.update({idx_month:data})
return data_for_optimiztion_months
# Evaluation Settings
calendar = ql.China()
daycounter = ql.ActualActual()
evalDate = ql.Date(19, 7, 2017)
#evalDate = calendar.advance(evalDate,ql.Period(1,ql.Days))
# Construct Black Variance Surface
#data_BVS,mdts_BVS,strike_BVS,implied_vols,spot = get_impliedvolmat_call_BS(evalDate, daycounter,calendar)
curve = svi_data.get_curve_treasury_bond(evalDate,daycounter)
#data_BVS,iv_matrix,mdts_BVS,strike_BVS,spot = svi_data.get_impliedvolmat_call_givenKs(evalDate,daycounter,calendar,curve)
optiontype = ql.Option.Put
# Local Vol Surface
cal_vols_c, put_vols_c, maturity_dates_c, spot_c, rf_c = daily_svi_dataset.get(to_dt_date(evalDate))
expiration_dates = to_ql_dates(maturity_dates_c)
orgnized_data = orgnize_data(evalDate, daycounter, put_vols_c, expiration_dates)
strikes = orgnized_data.get(3)[0]
strikes = sorted(strikes)
vol_matrix = []
calibrate_date3 = to_ql_date(dates[idx_date - 3])
calibrate_date2 = to_ql_date(dates[idx_date - 2])
calibrate_date1 = to_ql_date(dates[idx_date - 1])
calibrate_date = to_ql_date(dates[idx_date])
calibrated_params = daily_params.get(
to_dt_date(calibrate_date)) # on calibrate_date
calibrated_params1 = daily_params.get(
to_dt_date(calibrate_date1)) # on calibrate_date
calibrated_params2 = daily_params.get(
to_dt_date(calibrate_date2)) # on calibrate_date
calibrated_params3 = daily_params.get(
to_dt_date(calibrate_date3)) # on calibrate_date
calibrated_params4 = daily_params.get(
to_dt_date(calibrate_date4)) # on calibrate_date
curve_on_calibrate_date = svi_data.get_curve_treasury_bond(
calibrate_date, daycounter)
# Local Vol Surface
cal_vols_c, put_vols_c, maturity_dates_c, spot_c, rf_c = daily_svi_dataset.get(
to_dt_date(calibrate_date))
# black_var_surface = get_local_volatility_surface(calibrated_params,to_ql_dates(maturity_dates_c),calibrate_date,daycounter,calendar,spot_c,rf_c)
calibrated_params_list = [
calibrated_params, calibrated_params1, calibrated_params2,
calibrated_params3, calibrated_params4
]
calibrate_dates = [
calibrate_date, calibrate_date1, calibrate_date2, calibrate_date3,
calibrate_date4
]
black_var_surface_smoothed = get_black_variance_surface_smoothed(
calibrated_params_list, to_ql_dates(maturity_dates_c), calibrate_dates,
daycounter, calendar, spot_c, rf_c)
expiration_dates_h = to_ql_dates(maturity_dates_h)
orgnized_data_hedge_date = svi_util.orgnize_data_for_hedging(
hedge_date, daycounter, cal_vols_h, expiration_dates_h,
spot_on_hedge_date)
calibrated_params = daily_params.get(
to_dt_date(calibrate_date)) # on calibrate_date
calibrated_params1 = daily_params.get(
to_dt_date(calibrate_date1)) # on calibrate_date
calibrated_params2 = daily_params.get(
to_dt_date(calibrate_date2)) # on calibrate_date
calibrated_params3 = daily_params.get(
to_dt_date(calibrate_date3)) # on calibrate_date
calibrated_params4 = daily_params.get(
to_dt_date(calibrate_date4)) # on calibrate_date
curve_on_hedge_date = svi_data.get_curve_treasury_bond(
hedge_date, daycounter)
# Local Vol Surface
cal_vols_c, put_vols_c, maturity_dates_c, spot_c, rf_c = daily_svi_dataset.get(
to_dt_date(calibrate_date))
calibrated_params_list = [
calibrated_params, calibrated_params1, calibrated_params2,
calibrated_params3, calibrated_params4
]
calibrate_dates = [
calibrate_date, calibrate_date1, calibrate_date2, calibrate_date3,
calibrate_date4
]
black_var_surface = hedge_util.get_local_volatility_surface_smoothed(
calibrated_params_list, to_ql_dates(maturity_dates_c),
# Evaluation Settings
today = ql.Date(14, 7, 2017)
ql.Settings.instance().evaluationDate = today
calendar = ql.China()
daycounter = ql.ActualActual()
#simulation_no = 1000
#noise = np.random.normal(0,1,(simulation_no,len(dates)))
#delta_t = 1.0/365
i = 3
# Down and out Call
optiontype = ql.Option.Call
barrierType = ql.Barrier.DownIn
curve = svi_data.get_curve_treasury_bond(today, daycounter)
calibrated_params = daily_params.get(to_dt_date(today)) # on calibrate_date
cal_vols, put_vols, maturity_dates, spot, risk_free_rates = daily_svi_dataset.get(
to_dt_date(today))
black_var_surface = hedge_util.get_local_volatility_surface(
calibrated_params, to_ql_dates(maturity_dates), today, daycounter,
calendar, spot, risk_free_rates)
maturityDate = to_ql_date(maturity_dates[i])
rf = risk_free_rates.get(i)
params = calibrated_params[i]
#maturityDate = calendar.advance(today,ql.Period(6,ql.Months))
print(maturityDate)
print(rf)
#rf = 0.0
