from probo.marketdata import MarketData
from probo.payoff import ExoticPayoff, arithmeticAsianCallPayoff, arithmeticAsianPutPayoff
from probo.engine import MonteCarloEngine, NaiveMonteCarloPricer, PathwiseNaiveMonteCarloPricer
from probo.facade import OptionFacade
## Set up the market data
spot = 41.0
rate = 0.08
volatility = 0.30
dividend = 0.0
thedata = MarketData(rate, spot, volatility, dividend)
## Set up the option
expiry = 1.0
strike = 40.0
thecall = ExoticPayoff(expiry, strike, arithmeticAsianCallPayoff)
theput = ExoticPayoff(expiry, strike, arithmeticAsianPutPayoff)
## Set up Naive Monte Carlo
nreps = 100000
steps = 1
pricer = NaiveMonteCarloPricer
# pricer = PathwiseNaiveMonteCarloPricer
mcengine = MonteCarloEngine(nreps, steps, pricer)
## Calculate the price
option1 = OptionFacade(thecall, mcengine, thedata)
price1 = option1.price()
print("The call price via Naive Monte Carlo is: {0:.3f}".format(price1))
option2 = OptionFacade(theput, mcengine, thedata)
from probo.marketdata import MarketData
from probo.payoff import VanillaPayoff, call_payoff, put_payoff
from probo.engine import BinomialPricingEngine, AmericanBinomialPricer
from probo.facade import OptionFacade
import numpy as np
## Set up the market data
thedata = MarketData()
#thedata.historic('ZION', 20181011)
result = thedata.default('AAPL')
expiry = 1.0
strike = result[0] + 10
thecall = VanillaPayoff(expiry, strike, call_payoff)
theput = VanillaPayoff(expiry, strike, put_payoff)
## Set up the European Binomial pricer
steps = 3
pricer = AmericanBinomialPricer
binomengine = BinomialPricingEngine(steps, pricer)
## Calculate the price
option1 = OptionFacade(thecall, binomengine, thedata)
price1 = option1.price()
print("The call price via American Binomial is: {0:.3f}".format(price1))
option2 = OptionFacade(theput, binomengine, thedata)
price2 = option2.price()
print("The put price via American Binomial is: {0:.3f}".format(price2))