def test_DOWN_AND_IN_CALL():
spot_fx_rate = 100
option_type = FinFXBarrierTypes.DOWN_AND_IN_CALL
barrier_option = FXBarrierOption(expiry_date, K, currency_pair,
option_type, B, num_observations_per_year,
notional, notional_currency)
value = barrier_option.value(valuation_date, spot_fx_rate,
dom_discount_curve, for_discount_curve, model)
delta = barrier_option.delta(valuation_date, spot_fx_rate,
dom_discount_curve, for_discount_curve, model)
vega = barrier_option.vega(valuation_date, spot_fx_rate,
dom_discount_curve, for_discount_curve, model)
theta = barrier_option.theta(valuation_date, spot_fx_rate,
dom_discount_curve, for_discount_curve, model)
assert round(value, 4) == 9.2270
assert round(delta, 4) == 0.5868
assert round(vega, 4) == 0.3791
assert round(theta, 4) == -5.0924
def test_UP_AND_OUT_CALL():
spot_fx_rate = 50
option_type = FinFXBarrierTypes.UP_AND_OUT_CALL
barrier_option = FXBarrierOption(expiry_date, K, currency_pair,
option_type, B, num_observations_per_year,
notional, notional_currency)
value = barrier_option.value(valuation_date, spot_fx_rate,
dom_discount_curve, for_discount_curve, model)
delta = barrier_option.delta(valuation_date, spot_fx_rate,
dom_discount_curve, for_discount_curve, model)
vega = barrier_option.vega(valuation_date, spot_fx_rate,
dom_discount_curve, for_discount_curve, model)
theta = barrier_option.theta(valuation_date, spot_fx_rate,
dom_discount_curve, for_discount_curve, model)
assert round(value, 4) == 0.0003
assert round(delta, 4) == 0.0001
assert round(vega, 4) == 0.0002
assert round(theta, 4) == -0.0015
def test_UP_AND_IN_PUT():
spot_fx_rate = 100
option_type = FinFXBarrierTypes.UP_AND_IN_PUT
barrier_option = FXBarrierOption(expiry_date, K, currency_pair,
option_type, B, num_observations_per_year,
notional, notional_currency)
value = barrier_option.value(valuation_date, spot_fx_rate,
dom_discount_curve, for_discount_curve, model)
delta = barrier_option.delta(valuation_date, spot_fx_rate,
dom_discount_curve, for_discount_curve, model)
vega = barrier_option.vega(valuation_date, spot_fx_rate,
dom_discount_curve, for_discount_curve, model)
theta = barrier_option.theta(valuation_date, spot_fx_rate,
dom_discount_curve, for_discount_curve, model)
assert round(value, 4) == 2.7444
assert round(delta, 4) == 0.2102
assert round(vega, 4) == 0.2680
assert round(theta, 4) == -2.3502
def test_FinFXBarrierOption():
valuation_date = Date(1, 1, 2015)
expiry_date = Date(1, 1, 2016)
spot_fx_rate = 100.0
currency_pair = "USDJPY"
volatility = 0.20
dom_interest_rate = 0.05
forInterestRate = 0.02
option_type = FinFXBarrierTypes.DOWN_AND_OUT_CALL
notional = 100.0
notional_currency = "USD"
drift = dom_interest_rate - forInterestRate
scheme = FinGBMNumericalScheme.ANTITHETIC
process_type = ProcessTypes.GBM
dom_discount_curve = DiscountCurveFlat(valuation_date, dom_interest_rate)
for_discount_curve = DiscountCurveFlat(valuation_date, forInterestRate)
model = BlackScholes(volatility)
###########################################################################
import time
start = time.time()
num_observations_per_year = 100
for option_type in FinFXBarrierTypes:
testCases.header("Type", "K", "B", "S", "Value", "ValueMC", "TIME",
"Diff")
for spot_fx_rate in range(60, 140, 20):
B = 110.0
K = 100.0
option = FXBarrierOption(expiry_date, K, currency_pair,
option_type, B, num_observations_per_year,
notional, notional_currency)
value = option.value(valuation_date, spot_fx_rate,
dom_discount_curve, for_discount_curve, model)
start = time.time()
model_params = (spot_fx_rate, drift, volatility, scheme)
value_mc = option.value_mc(valuation_date, spot_fx_rate,
dom_interest_rate, process_type,
model_params)
end = time.time()
time_elapsed = round(end - start, 3)
diff = value_mc - value
testCases.print(option_type, K, B, spot_fx_rate, value, value_mc,
time_elapsed, diff)
for spot_fx_rate in range(60, 140, 20):
B = 100.0
K = 110.0
option = FXBarrierOption(expiry_date, K, currency_pair,
option_type, B, num_observations_per_year,
notional, notional_currency)
value = option.value(valuation_date, spot_fx_rate,
dom_discount_curve, for_discount_curve, model)
start = time.time()
model_params = (spot_fx_rate, drift, volatility, scheme)
value_mc = option.value_mc(valuation_date, spot_fx_rate,
dom_interest_rate, process_type,
model_params)
end = time.time()
time_elapsed = round(end - start, 3)
diff = value_mc - value
testCases.print(option_type, K, B, spot_fx_rate, value, value_mc,
time_elapsed, diff)
end = time.time()
##########################################################################
spot_fx_rates = range(50, 150, 50)
B = 105.0
testCases.header("Type", "K", "B", "S:", "Value", "Delta", "Vega", "Theta")
for option_type in FinFXBarrierTypes:
for spot_fx_rate in spot_fx_rates:
barrier_option = FXBarrierOption(expiry_date, 100.0, currency_pair,
option_type, B,
num_observations_per_year,
notional, notional_currency)
value = barrier_option.value(valuation_date, spot_fx_rate,
dom_discount_curve,
for_discount_curve, model)
delta = barrier_option.delta(valuation_date, spot_fx_rate,
dom_discount_curve,
for_discount_curve, model)
vega = barrier_option.vega(valuation_date, spot_fx_rate,
dom_discount_curve, for_discount_curve,
model)
theta = barrier_option.theta(valuation_date, spot_fx_rate,
dom_discount_curve,
for_discount_curve, model)
testCases.print(option_type, K, B, spot_fx_rate, value, delta,
vega, theta)