def test_FinEquityVanillaOption():
valueDate = FinDate(2015, 1, 1)
expiryDate = FinDate(2015, 7, 1)
stockPrice = 100
volatility = 0.30
interestRate = 0.05
dividendYield = 0.01
model = FinEquityModelBlackScholes(volatility)
discountCurve = FinDiscountCurveFlat(valueDate, interestRate)
numPathsList = [10000, 20000, 40000, 80000, 160000, 320000]
testCases.header("NUMPATHS", "VALUE_BS", "VALUE_MC", "TIME")
for numPaths in numPathsList:
callOption = FinEquityVanillaOption(expiryDate, 100.0,
FinOptionTypes.EUROPEAN_CALL)
value = callOption.value(valueDate, stockPrice, discountCurve,
dividendYield, model)
start = time.time()
valueMC = callOption.valueMC(valueDate, stockPrice, discountCurve,
dividendYield, model, numPaths)
end = time.time()
duration = end - start
testCases.print(numPaths, value, valueMC, duration)
###############################################################################
stockPrices = range(80, 120, 2)
numPaths = 100000
testCases.header("NUMPATHS", "VALUE_BS", "VALUE_MC", "TIME")
useSobol = True
for stockPrice in stockPrices:
callOption = FinEquityVanillaOption(expiryDate, 100.0,
FinOptionTypes.EUROPEAN_CALL)
value = callOption.value(valueDate, stockPrice, discountCurve,
dividendYield, model)
start = time.time()
useSobol = False
valueMC1 = callOption.valueMC(valueDate, stockPrice, discountCurve,
dividendYield, model, numPaths, useSobol)
useSobol = True
valueMC2 = callOption.valueMC(valueDate, stockPrice, discountCurve,
dividendYield, model, numPaths, useSobol)
end = time.time()
duration = end - start
testCases.print(numPaths, value, valueMC, duration)
###############################################################################
stockPrices = range(80, 120, 2)
numPaths = 100000
testCases.header("STOCK PRICE", "VALUE_BS", "VALUE_MC", "TIME")
for stockPrice in stockPrices:
putOption = FinEquityVanillaOption(expiryDate, 100.0,
FinOptionTypes.EUROPEAN_PUT)
value = putOption.value(valueDate, stockPrice, discountCurve,
dividendYield, model)
start = time.time()
valueMC = putOption.valueMC(valueDate, stockPrice, discountCurve,
dividendYield, model, numPaths)
end = time.time()
duration = end - start
testCases.print(stockPrice, value, valueMC, duration)
###############################################################################
stockPrices = range(80, 120, 2)
testCases.header("STOCK PRICE", "VALUE_BS", "DELTA_BS", "VEGA_BS",
"THETA_BS", "RHO_BS")
for stockPrice in stockPrices:
callOption = FinEquityVanillaOption(expiryDate, 100.0,
FinOptionTypes.EUROPEAN_CALL)
value = callOption.value(valueDate, stockPrice, discountCurve,
dividendYield, model)
delta = callOption.delta(valueDate, stockPrice, discountCurve,
dividendYield, model)
vega = callOption.vega(valueDate, stockPrice, discountCurve,
dividendYield, model)
theta = callOption.theta(valueDate, stockPrice, discountCurve,
dividendYield, model)
# callOption.rho(valueDate,stockPrice, interestRate, dividendYield, modelType, modelParams)
rho = 999
testCases.print(stockPrice, value, delta, vega, theta, rho)
testCases.header("STOCK PRICE", "VALUE_BS", "DELTA_BS", "VEGA_BS",
"THETA_BS", "RHO_BS")
for stockPrice in stockPrices:
putOption = FinEquityVanillaOption(expiryDate, 100.0,
FinOptionTypes.EUROPEAN_PUT)
value = putOption.value(valueDate, stockPrice, discountCurve,
dividendYield, model)
delta = putOption.delta(valueDate, stockPrice, discountCurve,
dividendYield, model)
vega = putOption.vega(valueDate, stockPrice, discountCurve,
dividendYield, model)
theta = putOption.theta(valueDate, stockPrice, discountCurve,
dividendYield, model)
# putOption.rho(valueDate,stockPrice, interestRate, dividendYield,
# modelType, modelParams)
rho = 999
testCases.print(stockPrice, value, delta, vega, theta, rho)
###############################################################################
testCases.header("STOCK PRICE", "VALUE_BS", "VOL_IN", "IMPLD_VOL")
stockPrices = range(60, 150, 2)
for stockPrice in stockPrices:
callOption = FinEquityVanillaOption(expiryDate, 100.0,
FinOptionTypes.EUROPEAN_CALL)
value = callOption.value(valueDate, stockPrice, discountCurve,
dividendYield, model)
impliedVol = callOption.impliedVolatility(valueDate, stockPrice,
discountCurve, dividendYield,
value)
testCases.print(stockPrice, value, volatility, impliedVol)
def test_FinEquityVanillaOption():
valueDate = FinDate(1, 1, 2015)
expiryDate = FinDate(1, 7, 2015)
stockPrice = 100
volatility = 0.30
interestRate = 0.05
dividendYield = 0.01
model = FinModelBlackScholes(volatility)
discountCurve = FinDiscountCurveFlat(valueDate, interestRate)
dividendCurve = FinDiscountCurveFlat(valueDate, dividendYield)
numPathsList = [10000, 20000, 40000, 80000, 160000, 320000]
testCases.header("NUMPATHS", "VALUE_BS", "VALUE_MC", "TIME")
for numPaths in numPathsList:
callOption = FinEquityVanillaOption(
expiryDate, 100.0, FinOptionTypes.EUROPEAN_CALL)
value = callOption.value(valueDate, stockPrice, discountCurve,
dividendCurve, model)
start = time.time()
valueMC = callOption.valueMC(valueDate, stockPrice, discountCurve,
dividendCurve, model, numPaths)
end = time.time()
duration = end - start
testCases.print(numPaths, value, valueMC, duration)
###############################################################################
stockPrices = range(80, 120, 10)
numPaths = 100000
testCases.header("NUMPATHS", "CALL_VALUE_BS", "CALL_VALUE_MC",
"CALL_VALUE_MC_SOBOL", "TIME")
useSobol = True
for stockPrice in stockPrices:
callOption = FinEquityVanillaOption(expiryDate, 100.0,
FinOptionTypes.EUROPEAN_CALL)
value = callOption.value(valueDate, stockPrice, discountCurve,
dividendCurve, model)
start = time.time()
useSobol = False
valueMC1 = callOption.valueMC(valueDate, stockPrice, discountCurve,
dividendCurve, model, numPaths, useSobol)
useSobol = True
valueMC2 = callOption.valueMC(valueDate, stockPrice, discountCurve,
dividendCurve, model, numPaths, useSobol)
end = time.time()
duration = end - start
testCases.print(numPaths, value, valueMC1, valueMC2, duration)
###############################################################################
stockPrices = range(80, 120, 10)
numPaths = 100000
testCases.header("NUMPATHS", "PUT_VALUE_BS", "PUT_VALUE_MC",
"PUT_VALUE_MC_SOBOL", "TIME")
for stockPrice in stockPrices:
putOption = FinEquityVanillaOption(expiryDate, 100.0,
FinOptionTypes.EUROPEAN_PUT)
value = putOption.value(valueDate, stockPrice, discountCurve,
dividendCurve, model)
start = time.time()
useSobol = False
valueMC1 = putOption.valueMC(valueDate, stockPrice, discountCurve,
dividendCurve, model, numPaths, useSobol)
useSobol = True
valueMC2 = putOption.valueMC(valueDate, stockPrice, discountCurve,
dividendCurve, model, numPaths, useSobol)
end = time.time()
duration = end - start
testCases.print(numPaths, value, valueMC1, valueMC2, duration)
###############################################################################
stockPrices = range(80, 120, 10)
testCases.header("STOCK PRICE", "CALL_VALUE_BS", "CALL_DELTA_BS",
"CALL_VEGA_BS", "CALL_THETA_BS", "CALL_RHO_BS","CALL_VANNA_BS")
for stockPrice in stockPrices:
callOption = FinEquityVanillaOption(expiryDate, 100.0,
FinOptionTypes.EUROPEAN_CALL)
value = callOption.value(valueDate, stockPrice, discountCurve,
dividendCurve, model)
delta = callOption.delta(valueDate, stockPrice, discountCurve,
dividendCurve, model)
vega = callOption.vega(valueDate, stockPrice, discountCurve,
dividendCurve, model)
theta = callOption.theta(valueDate, stockPrice, discountCurve,
dividendCurve, model)
rho = callOption.rho(valueDate, stockPrice, discountCurve,
dividendCurve, model)
vanna = callOption.vanna(valueDate, stockPrice, discountCurve,
dividendCurve, model)
testCases.print(stockPrice, value, delta, vega, theta, rho, vanna)
###########################################################################
testCases.header("STOCK PRICE", "PUT_VALUE_BS", "PUT_DELTA_BS",
"PUT_VEGA_BS", "PUT_THETA_BS", "PUT_RHO_BS","PUT_VANNA_BS")
for stockPrice in stockPrices:
putOption = FinEquityVanillaOption(expiryDate, 100.0,
FinOptionTypes.EUROPEAN_PUT)
value = putOption.value(valueDate, stockPrice, discountCurve,
dividendCurve, model)
delta = putOption.delta(valueDate, stockPrice, discountCurve,
dividendCurve, model)
vega = putOption.vega(valueDate, stockPrice, discountCurve,
dividendCurve, model)
theta = putOption.theta(valueDate, stockPrice, discountCurve,
dividendCurve, model)
rho = putOption.rho(valueDate, stockPrice, discountCurve,
dividendCurve, model)
vanna = putOption.vanna(valueDate, stockPrice, discountCurve,
dividendCurve, model)
testCases.print(stockPrice, value, delta, vega, theta, rho, vanna)