def testFinModelBlackScholes():
valueDate = FinDate(8, 5, 2015)
expiryDate = FinDate(15, 1, 2016)
strikePrice = 130.0
stockPrice = 127.62
volatility = 0.20
interestRate = 0.001
dividendYield = 0.0163
optionType = FinOptionTypes.AMERICAN_CALL
euOptionType = FinOptionTypes.EUROPEAN_CALL
amOption = FinEquityAmericanOption(expiryDate, strikePrice, optionType)
ameuOption = FinEquityAmericanOption(expiryDate, strikePrice, euOptionType)
euOption = FinEquityVanillaOption(expiryDate, strikePrice, euOptionType)
discountCurve = FinDiscountCurveFlat(valueDate, interestRate,
FinFrequencyTypes.CONTINUOUS,
FinDayCountTypes.ACT_365F)
numStepsPerYear = 400
modelTree = FinModelBlackScholes(volatility,
FinModelBlackScholesTypes.CRR_TREE,
{'numStepsPerYear': numStepsPerYear})
v = amOption.value(valueDate, stockPrice, discountCurve, dividendYield,
modelTree)
# print(v)
modelApprox = FinModelBlackScholes(volatility,
FinModelBlackScholesTypes.BARONE_ADESI,
None)
v = amOption.value(valueDate, stockPrice, discountCurve, dividendYield,
modelApprox)
# print(v)
v = ameuOption.value(valueDate, stockPrice, discountCurve, dividendYield,
modelTree)
# print(v)
v = euOption.value(valueDate, stockPrice, discountCurve, dividendYield,
modelTree)
# print(v)
amTreeValue = []
amBAWValue = []
euTreeValue = []
euAnalValue = []
volatility = 0.20
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
discountCurve = FinDiscountCurveFlat(valueDate, interestRate)
testCases.banner("================== EUROPEAN PUT =======================")
putOption = FinEquityAmericanOption(expiryDate, strikePrice,
FinOptionTypes.EUROPEAN_PUT)
model = FinModelBlackScholes(volatility,
FinModelBlackScholesTypes.CRR_TREE,
{'numStepsPerYear': 100})
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,
FinOptionTypes.EUROPEAN_PUT)
testCases.header("OPTION_TYPE", "NUMSTEPS", "VALUE DELTA GAMMA THETA",
"TIME")
numStepsList = [100, 200, 500, 1000, 2000]
for numSteps in numStepsList:
model = FinModelBlackScholes(volatility,
FinModelBlackScholesTypes.CRR_TREE,
{'numStepsPerYear': numSteps})
start = time.time()
results = option.value(valueDate, stockPrice, discountCurve,
dividendYield, model)
end = time.time()
duration = end - start
testCases.print("EUROPEAN_PUT_TREE", numSteps, results, duration)
testCases.banner("================== AMERICAN PUT =======================")
option = FinEquityAmericanOption(expiryDate, strikePrice,
FinOptionTypes.AMERICAN_PUT)
testCases.header("OPTION_TYPE", "NUMSTEPS", "VALUE DELTA GAMMA THETA",
"TIME")
for numSteps in numStepsList:
model = FinModelBlackScholes(volatility,
FinModelBlackScholesTypes.CRR_TREE,
{'numStepsPerYear': numSteps})
start = time.time()
results = option.value(valueDate, stockPrice, discountCurve,
dividendYield, model)
end = time.time()
duration = end - start
testCases.print("AMERICAN_PUT", numSteps, results, duration)
testCases.banner(
"================== EUROPEAN CALL =======================")
callOption = FinEquityAmericanOption(expiryDate, strikePrice,
FinOptionTypes.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,
FinOptionTypes.EUROPEAN_CALL)
testCases.header("OPTION_TYPE", "NUMSTEPS", "VALUE DELTA GAMMA THETA",
"TIME")
for numSteps in numStepsList:
model = FinModelBlackScholes(volatility,
FinModelBlackScholesTypes.CRR_TREE,
{'numStepsPerYear': numSteps})
start = time.time()
results = option.value(valueDate, stockPrice, discountCurve,
dividendYield, model)
end = time.time()
duration = end - start
testCases.print("EUROPEAN_CALL_TREE", numSteps, results, duration)
testCases.banner(
"================== AMERICAN CALL =======================")
testCases.header("OPTION_TYPE", "NUMSTEPS", "VALUE DELTA GAMMA THETA",
"TIME")
option = FinEquityAmericanOption(expiryDate, strikePrice,
FinOptionTypes.AMERICAN_CALL)
for numSteps in numStepsList:
model = FinModelBlackScholes(volatility,
FinModelBlackScholesTypes.CRR_TREE,
{'numStepsPerYear': numSteps})
start = time.time()
results = option.value(valueDate, stockPrice, discountCurve,
dividendYield, model)
end = time.time()
duration = end - start
testCases.print("AMERICAN_CALL", numSteps, results, duration)