def test_FinFXMktVolSurface1(verboseCalibration):
###########################################################################
if 1 == 1:
# Example from Book extract by Iain Clark using Tables 3.3 and 3.4
# print("EURUSD EXAMPLE CLARK")
valueDate = FinDate(10, 4, 2020)
forName = "EUR"
domName = "USD"
forCCRate = 0.03460 # EUR
domCCRate = 0.02940 # USD
domDiscountCurve = FinDiscountCurveFlat(valueDate, domCCRate)
forDiscountCurve = FinDiscountCurveFlat(valueDate, forCCRate)
currencyPair = forName + domName
spotFXRate = 1.3465
tenors = ['1M', '2M', '3M', '6M', '1Y', '2Y']
atmVols = [21.00, 21.00, 20.750, 19.400, 18.250, 17.677]
marketStrangle25DeltaVols = [0.65, 0.75, 0.85, 0.90, 0.95, 0.85]
riskReversal25DeltaVols = [-0.20, -0.25, -0.30, -0.50, -0.60, -0.562]
marketStrangle10DeltaVols = [2.433, 2.83, 3.228, 3.485, 3.806, 3.208]
riskReversal10DeltaVols = [
-1.258, -1.297, -1.332, -1.408, -1.359, -1.208
]
notionalCurrency = forName
atmMethod = FinFXATMMethod.FWD_DELTA_NEUTRAL
deltaMethod = FinFXDeltaMethod.SPOT_DELTA
volFunctionType = FinVolFunctionTypes.CLARK5
alpha = 0.5 # FIT WINGS AT 10D if ALPHA = 1.0
fxMarketPlus = FinFXVolSurfacePlus(
valueDate, spotFXRate, currencyPair, notionalCurrency,
domDiscountCurve, forDiscountCurve, tenors, atmVols,
marketStrangle25DeltaVols, riskReversal25DeltaVols,
marketStrangle10DeltaVols, riskReversal10DeltaVols, alpha,
atmMethod, deltaMethod, volFunctionType)
fxMarketPlus.checkCalibration(False)
if 1 == 0: # PLOT_GRAPHS:
fxMarketPlus.plotVolCurves()
plt.figure()
dbns = fxMarketPlus.impliedDbns(0.5, 2.0, 1000)
for i in range(0, len(dbns)):
plt.plot(dbns[i]._x, dbns[i]._densitydx)
plt.title(volFunctionType)
print("SUM:", dbns[i].sum())
def test_FinFXMktVolSurface5(verboseCalibration):
###########################################################################
# Here I remove the 10D Vols
###########################################################################
if 1 == 1:
# Example from Book extract by Iain Clark using Tables 3.3 and 3.4
# print("EURUSD EXAMPLE CLARK")
valueDate = FinDate(10, 4, 2020)
forName = "EUR"
domName = "USD"
forCCRate = 0.03460 # EUR
domCCRate = 0.02940 # USD
domDiscountCurve = FinDiscountCurveFlat(valueDate, domCCRate)
forDiscountCurve = FinDiscountCurveFlat(valueDate, forCCRate)
currencyPair = forName + domName
spotFXRate = 1.3465
tenors = ['1M', '2M', '3M', '6M', '1Y', '2Y']
atmVols = [21.00, 21.00, 20.750, 19.400, 18.250, 17.677]
marketStrangle25DeltaVols = [0.65, 0.75, 0.85, 0.90, 0.95, 0.85]
riskReversal25DeltaVols = [-0.20, -0.25, -0.30, -0.50, -0.60, -0.562]
marketStrangle10DeltaVols = [2.433, 2.83, 3.228, 3.485, 3.806, 3.208]
riskReversal10DeltaVols = [-1.258, -1.297, -1.332, -1.408, -1.359, -1.208]
marketStrangle10DeltaVols = None
riskReversal10DeltaVols = None
notionalCurrency = forName
atmMethod = FinFXATMMethod.FWD_DELTA_NEUTRAL
deltaMethod = FinFXDeltaMethod.SPOT_DELTA
volFunctionType = FinVolFunctionTypes.CLARK
alpha = 0.50 # FIT WINGS AT 10D if ALPHA = 1.0
fxMarketPlus = FinFXVolSurfacePlus(valueDate,
spotFXRate,
currencyPair,
notionalCurrency,
domDiscountCurve,
forDiscountCurve,
tenors,
atmVols,
marketStrangle25DeltaVols,
riskReversal25DeltaVols,
marketStrangle10DeltaVols,
riskReversal10DeltaVols,
alpha,
atmMethod,
deltaMethod,
volFunctionType)
fxMarketPlus.checkCalibration(False)
def test_FinFXMktVolSurface2(verboseCalibration):
#print("==============================================================")
# Example from Book extract by Iain Clarke using Tables 3.3 and 3.4
# print("EURJPY EXAMPLE CLARK")
valueDate = FinDate(10, 4, 2020)
forName = "EUR"
domName = "JPY"
forCCRate = 0.0294 # EUR
domCCRate = 0.0171 # USD
domDiscountCurve = FinDiscountCurveFlat(valueDate, domCCRate)
forDiscountCurve = FinDiscountCurveFlat(valueDate, forCCRate)
currencyPair = forName + domName
spotFXRate = 90.72
tenors = ['1M', '2M', '3M', '6M', '1Y', '2Y']
atmVols = [21.50, 20.50, 19.85, 18.00, 15.95, 14.009]
marketStrangle25DeltaVols = [0.35, 0.325, 0.300, 0.225, 0.175, 0.100]
riskReversal25DeltaVols = [-8.350, -8.650, -8.950, -9.250, -9.550, -9.500]
marketStrangle10DeltaVols = [3.704, 4.047, 4.396, 4.932, 5.726, 5.709]
riskReversal10DeltaVols = [
-15.855, -16.467, -17.114, -17.882, -18.855, -18.217
]
alpha = 0.50 # Equally fit 10 and 25 Delta
notionalCurrency = forName
atmMethod = FinFXATMMethod.FWD_DELTA_NEUTRAL_PREM_ADJ
deltaMethod = FinFXDeltaMethod.SPOT_DELTA_PREM_ADJ
volFunctionType = FinVolFunctionTypes.CLARK5
fxMarketPlus = FinFXVolSurfacePlus(
valueDate, spotFXRate, currencyPair, notionalCurrency,
domDiscountCurve, forDiscountCurve, tenors, atmVols,
marketStrangle25DeltaVols, riskReversal25DeltaVols,
marketStrangle10DeltaVols, riskReversal10DeltaVols, alpha, atmMethod,
deltaMethod, volFunctionType)
# fxMarketPlus.checkCalibration(True)
if PLOT_GRAPHS:
fxMarketPlus.plotVolCurves()
plt.figure()
dbns = fxMarketPlus.impliedDbns(30, 120, 1000)
for i in range(0, len(dbns)):
plt.plot(dbns[i]._x, dbns[i]._densitydx)
plt.title(volFunctionType)
print("SUM:", dbns[i].sum())
def test_FinFXMktVolSurface2(verboseCalibration):
#print("==============================================================")
# Example from Book extract by Iain Clarke using Tables 3.3 and 3.4
# print("EURJPY EXAMPLE CLARKE")
valueDate = FinDate(10, 4, 2020)
forName = "EUR"
domName = "JPY"
forCCRate = 0.0294 # EUR
domCCRate = 0.0171 # USD
domDiscountCurve = FinDiscountCurveFlat(valueDate, domCCRate)
forDiscountCurve = FinDiscountCurveFlat(valueDate, forCCRate)
currencyPair = forName + domName
spotFXRate = 90.72
tenors = ['1M', '2M', '3M', '6M', '1Y', '2Y']
atmVols = [21.50, 20.50, 19.85, 18.00, 15.95, 14.009]
marketStrangle25DeltaVols = [0.35, 0.325, 0.300, 0.225, 0.175, 0.100]
riskReversal25DeltaVols = [-8.350, -8.650, -8.950, -9.250, -9.550, -9.500]
marketStrangle10DeltaVols = [3.704, 4.047, 4.396, 4.932, 5.726, 5.709]
riskReversal10DeltaVols = [-15.855, -16.467, -17.114, -17.882, -18.855, -18.217]
notionalCurrency = forName
atmMethod = FinFXATMMethod.FWD_DELTA_NEUTRAL_PREM_ADJ
deltaMethod = FinFXDeltaMethod.SPOT_DELTA_PREM_ADJ
fxMarket = FinFXVolSurfacePlus(valueDate,
spotFXRate,
currencyPair,
notionalCurrency,
domDiscountCurve,
forDiscountCurve,
tenors,
atmVols,
marketStrangle25DeltaVols,
riskReversal25DeltaVols,
marketStrangle10DeltaVols,
riskReversal10DeltaVols,
atmMethod,
deltaMethod)
fxMarket.checkCalibration(verboseCalibration)
def test_FinFXMktVolSurface4(verboseCalibration):
# USDJPY Example from Paper by Uwe Wystup using Tables 4
# print("USDJPY EXAMPLE WYSTUP")
valueDate = FinDate(20, 1, 2009)
forName = "USD"
domName = "JPY"
forCCRate = 0.003525 # USD
domCCRate = 0.0042875 # JPY
domDiscountCurve = FinDiscountCurveFlat(valueDate, domCCRate)
forDiscountCurve = FinDiscountCurveFlat(valueDate, forCCRate)
currencyPair = forName + domName
spotFXRate = 90.68
tenors = ['1M']
atmVols = [21.00]
marketStrangle25DeltaVols = [0.184]
riskReversal25DeltaVols = [-5.30]
notionalCurrency = forName
atmMethod = FinFXATMMethod.FWD_DELTA_NEUTRAL
deltaMethod = FinFXDeltaMethod.SPOT_DELTA_PREM_ADJ
fxMarket = FinFXVolSurfacePlus(valueDate,
spotFXRate,
currencyPair,
notionalCurrency,
domDiscountCurve,
forDiscountCurve,
tenors,
atmVols,
marketStrangle25DeltaVols,
riskReversal25DeltaVols,
atmMethod,
deltaMethod)
fxMarket.checkCalibration(verboseCalibration)
def test_FinFXMktVolSurface3(verboseCalibration):
# EURUSD Example from Paper by Uwe Wystup using Tables 4
# print("EURUSD EXAMPLE WYSTUP")
valueDate = FinDate(20, 1, 2009)
forName = "EUR"
domName = "USD"
forCCRate = 0.020113 # EUR
domCCRate = 0.003525 # USD
domDiscountCurve = FinDiscountCurveFlat(valueDate, domCCRate)
forDiscountCurve = FinDiscountCurveFlat(valueDate, forCCRate)
currencyPair = forName + domName
spotFXRate = 1.3088
tenors = ['1M']
atmVols = [21.6215]
marketStrangle25DeltaVols = [0.7375]
riskReversal25DeltaVols = [-0.50]
notionalCurrency = forName
atmMethod = FinFXATMMethod.FWD_DELTA_NEUTRAL
deltaMethod = FinFXDeltaMethod.SPOT_DELTA
fxMarket = FinFXVolSurfacePlus(valueDate,
spotFXRate,
currencyPair,
notionalCurrency,
domDiscountCurve,
forDiscountCurve,
tenors,
atmVols,
marketStrangle25DeltaVols,
riskReversal25DeltaVols,
atmMethod,
deltaMethod)
fxMarket.checkCalibration(verboseCalibration)
def build_vol_surface(self,
value_date,
asset=None,
depo_tenor='1M',
field=None,
atm_method=FinFXATMMethod.FWD_DELTA_NEUTRAL,
delta_method=FinFXDeltaMethod.SPOT_DELTA):
"""Builds the implied_vol volatility for a particular value date and calculates the benchmark strikes etc.
Before we do any sort of interpolation later, we need to build the implied_vol vol surface.
Parameters
----------
value_date : str
Value data (need to have market data for this date)
asset : str
Asset name
depo_tenor : str
Depo tenor to use
default - '1M'
field : str
Market data field to use
default - 'close'
atm_method : FinFXATMMethod
How is the ATM quoted? Eg. delta neutral, ATMF etc.
default - FinFXATMMethod.FWD_DELTA_NEUTRAL
delta_method : FinFXDeltaMethod
Spot delta, forward delta etc.
default - FinFXDeltaMethod.SPOT_DELTA
"""
value_date = self._market_util.parse_date(value_date)
self._value_date = value_date
market_df = self._market_df
value_fin_date = self._findate(
self._market_util.parse_date(value_date))
tenors = self._tenors
# Change ON (overnight) to 1D (convention for financepy)
# tenors_financepy = list(map(lambda b: b.replace("ON", "1D"), self._tenors.copy()))
tenors_financepy = self._tenors.copy()
if field is None:
field = self._field
field = '.' + field
if asset is None:
asset = self._asset
for_name_base = asset[0:3]
dom_name_terms = asset[3:6]
notional_currency = for_name_base
date_index = market_df.index == value_date
# CAREFUL: need to divide by 100 for depo rate, ie. 0.0346 = 3.46%
forCCRate = market_df[
for_name_base + depo_tenor +
field][date_index].values[0] / 100.0 # 0.03460 # EUR
domCCRate = market_df[
dom_name_terms + depo_tenor +
field][date_index].values[0] / 100.0 # 0.02940 # USD
currency_pair = for_name_base + dom_name_terms
spot_fx_rate = float(market_df[currency_pair +
field][date_index].values[0])
# For vols we do NOT need to divide by 100 (financepy does that internally)
atm_vols = market_df[[currency_pair + "V" + t + field
for t in tenors]][date_index].values[0]
market_strangle25DeltaVols = market_df[[
currency_pair + "25B" + t + field for t in tenors
]][date_index].values[0] #[0.65, 0.75, 0.85, 0.90, 0.95, 0.85]
risk_reversal25DeltaVols = market_df[[
currency_pair + "25R" + t + field for t in tenors
]][date_index].values[0] #[-0.20, -0.25, -0.30, -0.50, -0.60, -0.562]
market_strangle10DeltaVols = market_df[[
currency_pair + "10B" + t + field for t in tenors
]][date_index].values[0]
risk_reversal10DeltaVols = market_df[[
currency_pair + "10R" + t + field for t in tenors
]][date_index].values[0]
dom_discount_curve = FinDiscountCurveFlat(value_fin_date, domCCRate)
for_discount_curve = FinDiscountCurveFlat(value_fin_date, forCCRate)
use_only_25d = True
# Construct financepy vol surface (uses polynomial interpolation for determining vol between strikes)
if use_only_25d:
self._fin_fx_vol_surface = FinFXVolSurface(
value_fin_date, spot_fx_rate, currency_pair, notional_currency,
dom_discount_curve, for_discount_curve, tenors_financepy,
atm_vols, market_strangle25DeltaVols, risk_reversal25DeltaVols,
atm_method, delta_method)
else:
# New implementation in FinancePy also uses 10d for interpolation
from financepy.market.volatility.FinFXVolSurfacePlus import FinFXVolSurfacePlus
self._fin_fx_vol_surface = FinFXVolSurfacePlus(
value_fin_date, spot_fx_rate, currency_pair, notional_currency,
dom_discount_curve, for_discount_curve, tenors_financepy,
atm_vols, market_strangle25DeltaVols, risk_reversal25DeltaVols,
market_strangle10DeltaVols, risk_reversal10DeltaVols,
atm_method, delta_method)
def test_FinFXMktVolSurface3(verboseCalibration):
###########################################################################
if 1 == 1:
# Example from Book extract by Iain Clark using Tables 4.4 and 4.5
# where we examine the calibration to a full surface in Chapter 4
valueDate = FinDate(10, 4, 2020)
forName = "EUR"
domName = "USD"
forCCRate = 0.03460 # EUR
domCCRate = 0.02940 # USD
domDiscountCurve = FinDiscountCurveFlat(valueDate, domCCRate)
forDiscountCurve = FinDiscountCurveFlat(valueDate, forCCRate)
currencyPair = forName + domName
spotFXRate = 1.3465
tenors = ['1Y', '2Y']
atmVols = [18.250, 17.677]
marketStrangle25DeltaVols = [0.95, 0.85]
riskReversal25DeltaVols = [-0.60, -0.562]
marketStrangle10DeltaVols = [3.806, 3.208]
riskReversal10DeltaVols = [-1.359, -1.208]
notionalCurrency = forName
# I HAVE NO YET MADE DELTA METHOD A VECTOR FOR EACH TERM AS I WOULD
# NEED TO DO AS DESCRIBED IN CLARK PAGE 70
atmMethod = FinFXATMMethod.FWD_DELTA_NEUTRAL
deltaMethod = FinFXDeltaMethod.FORWARD_DELTA # THIS IS DIFFERENT
volFunctionType = FinVolFunctionTypes.CLARK5
alpha = 0.5 # FIT WINGS AT 10D if ALPHA = 1.0
fxMarketPlus = FinFXVolSurfacePlus(valueDate,
spotFXRate,
currencyPair,
notionalCurrency,
domDiscountCurve,
forDiscountCurve,
tenors,
atmVols,
marketStrangle25DeltaVols,
riskReversal25DeltaVols,
marketStrangle10DeltaVols,
riskReversal10DeltaVols,
alpha,
atmMethod,
deltaMethod,
volFunctionType)
fxMarketPlus.checkCalibration(False)
if 1==0: # PLOT_GRAPHS:
fxMarketPlus.plotVolCurves()
plt.figure()
dbns = fxMarketPlus.impliedDbns(0.5, 2.0, 1000)
for i in range(0, len(dbns)):
plt.plot(dbns[i]._x, dbns[i]._densitydx)
plt.title(volFunctionType)
print("SUM:", dbns[i].sum())
# Test interpolation
years = [1.0, 1.5, 2.0]
dates = valueDate.addYears(years)
strikes = np.linspace(1.0, 2.0, 20)
if 1==0:
volSurface = []
for k in strikes:
volSmile = []
for dt in dates:
vol = fxMarketPlus.volatilityFromStrikeDate(k, dt)
volSmile.append(vol*100.0)
print(k, dt, vol*100.0)
volSurface.append(volSmile)
fig = plt.figure()
ax = fig.add_subplot(111, projection='3d')
X, Y = np.meshgrid(years, strikes)
zs = np.array(volSurface)
Z = zs.reshape(X.shape)
ax.plot_surface(X, Y, Z)
ax.set_xlabel('Years')
ax.set_ylabel('Strikes')
ax.set_zlabel('Volatility')
plt.show()
#######################################################################
deltas = np.linspace(0.10, 0.90, 17)
if 1==0:
volSurface = []
for delta in deltas:
volSmile = []
for dt in dates:
(vol, k) = fxMarketPlus.volatilityFromDeltaDate(delta, dt)
volSmile.append(vol*100.0)
print(delta, k, dt, vol*100.0)
volSurface.append(volSmile)
fig = plt.figure()
ax = fig.add_subplot(111, projection='3d')
X, Y = np.meshgrid(years, deltas)
zs = np.array(volSurface)
Z = zs.reshape(X.shape)
ax.plot_surface(X, Y, Z)
ax.set_xlabel('Years')
ax.set_ylabel('Delta')
ax.set_zlabel('Volatility')
plt.show()
def test_FinFXMktVolSurface4(verboseCalibration):
###########################################################################
# Here I remove the 25D Vols
###########################################################################
if 1 == 1:
# Example from Book extract by Iain Clark using Tables 3.3 and 3.4
# print("EURUSD EXAMPLE CLARK")
valueDate = FinDate(10, 4, 2020)
forName = "EUR"
domName = "USD"
forCCRate = 0.03460 # EUR
domCCRate = 0.02940 # USD
domDiscountCurve = FinDiscountCurveFlat(valueDate, domCCRate)
forDiscountCurve = FinDiscountCurveFlat(valueDate, forCCRate)
currencyPair = forName + domName
spotFXRate = 1.3465
tenors = ['1M', '2M', '3M', '6M', '1Y', '2Y']
atmVols = [21.00, 21.00, 20.750, 19.400, 18.250, 17.677]
marketStrangle25DeltaVols = [0.65, 0.75, 0.85, 0.90, 0.95, 0.85]
riskReversal25DeltaVols = [-0.20, -0.25, -0.30, -0.50, -0.60, -0.562]
marketStrangle10DeltaVols = [2.433, 2.83, 3.228, 3.485, 3.806, 3.208]
riskReversal10DeltaVols = [
-1.258, -1.297, -1.332, -1.408, -1.359, -1.208
]
marketStrangle25DeltaVols = None
riskReversal25DeltaVols = None
notionalCurrency = forName
atmMethod = FinFXATMMethod.FWD_DELTA_NEUTRAL
deltaMethod = FinFXDeltaMethod.SPOT_DELTA
volFunctionType = FinVolFunctionTypes.CLARK
alpha = 0.50 # FIT WINGS AT 10D if ALPHA = 1.0
fxMarketPlus = FinFXVolSurfacePlus(
valueDate, spotFXRate, currencyPair, notionalCurrency,
domDiscountCurve, forDiscountCurve, tenors, atmVols,
marketStrangle25DeltaVols, riskReversal25DeltaVols,
marketStrangle10DeltaVols, riskReversal10DeltaVols, alpha,
atmMethod, deltaMethod, volFunctionType)
fxMarketPlus.checkCalibration(False)
years = [1.0 / 12.0, 2. / 12., 0.25, 0.5, 1.0, 2.0]
dates = valueDate.addYears(years)
deltas = np.linspace(0.10, 0.90, 17)
if 1 == 1:
volSurface = []
for delta in deltas:
volSmile = []
for dt in dates:
(vol, k) = fxMarketPlus.volatilityFromDeltaDate(delta, dt)
volSmile.append(vol * 100.0)
print(delta, k, dt, vol * 100.0)
volSurface.append(volSmile)
fig = plt.figure()
ax = fig.add_subplot(111, projection='3d')
X, Y = np.meshgrid(years, deltas)
zs = np.array(volSurface)
Z = zs.reshape(X.shape)
ax.plot_surface(X, Y, Z)
ax.set_xlabel('Years')
ax.set_ylabel('Delta')
ax.set_zlabel('Volatility')
plt.title("EURUSD Volatility Surface")
plt.show()
def test_FinFXMktVolSurface1LONG(verboseCalibration):
###########################################################################
if 1 == 1:
# Example from Book extract by Iain Clarke using Tables 3.3 and 3.4
# print("EURUSD EXAMPLE CLARKE")
valueDate = FinDate(10, 4, 2020)
forName = "EUR"
domName = "USD"
forCCRate = 0.03460 # EUR
domCCRate = 0.02940 # USD
domDiscountCurve = FinDiscountCurveFlat(valueDate, domCCRate)
forDiscountCurve = FinDiscountCurveFlat(valueDate, forCCRate)
currencyPair = forName + domName
spotFXRate = 1.3465
tenors = ['1M', '2M', '3M', '6M', '1Y', '2Y']
atmVols = [21.00, 21.00, 20.750, 19.400, 18.250, 17.677]
marketStrangle25DeltaVols = [0.65, 0.75, 0.85, 0.90, 0.95, 0.85]
riskReversal25DeltaVols = [-0.20, -0.25, -0.30, -0.50, -0.60, -0.562]
marketStrangle10DeltaVols = [2.433, 2.83, 3.228, 3.485, 3.806, 3.208]
riskReversal10DeltaVols = [-1.258, -1.297, -1.332, -1.408, -1.359, -1.208]
if 1==1:
tenors = ['1Y']
atmVols = [18.250]
marketStrangle25DeltaVols = [0.950]
riskReversal25DeltaVols = [-0.600]
marketStrangle10DeltaVols = [3.806]
riskReversal10DeltaVols = [-1.359]
notionalCurrency = forName
atmMethod = FinFXATMMethod.FWD_DELTA_NEUTRAL
deltaMethod = FinFXDeltaMethod.SPOT_DELTA
volFunctionType = FinVolFunctionTypes.CLARKE
# EXPLORE AND TEST DIFFERENT CATEGORICAL PARAMETERS
for atmMethod in FinFXATMMethod:
for deltaMethod in FinFXDeltaMethod:
for volFunctionType in FinVolFunctionTypes:
fxMarket = FinFXVolSurfacePlus(valueDate,
spotFXRate,
currencyPair,
notionalCurrency,
domDiscountCurve,
forDiscountCurve,
tenors,
atmVols,
marketStrangle25DeltaVols,
riskReversal25DeltaVols,
marketStrangle10DeltaVols,
riskReversal10DeltaVols,
atmMethod,
deltaMethod,
volFunctionType)
fxMarket.checkCalibration(verboseCalibration)
if PLOT_GRAPHS:
fxMarket.plotVolCurves()
dbns = fxMarket.impliedDbns(0.00001, 5.0, 10000)
for i in range(0, len(dbns)):
plt.plot(dbns[i]._x, dbns[i]._densitydx)
print("SUM:", dbns[i].sum())
