def SABR_delta_2(f, t, k, CallPut, alpha, beta, rho, volvol):
f2 = f * 1.01
b_s = BlackScholes(f, 0, 0, t)
SABR_vol = lognormal_vol(k, f, t, alpha, beta, rho, volvol) * 100
SABR_vol_shift = lognormal_vol(k, f2, t, alpha, beta, rho, volvol) * 100
bs_delta = b_s.BS_delta(k, SABR_vol, CallPut)
bs_vega = b_s.BS_vega(k, SABR_vol)
delta = bs_delta + bs_vega * (SABR_vol_shift - SABR_vol) / (f2 - f)
return delta
def SABR_delta_3(f, t, k, CallPut, alpha, beta, rho, volvol):
f2 = f * 1.01
b_s = BlackScholes(f, 0, 0, t)
SABR_vol = lognormal_vol(k, f, t, alpha, beta, rho, volvol) * 100
SABR_vol_shift = lognormal_vol(k, f2, t, alpha, beta, rho, volvol) * 100
bs_delta = b_s.BS_delta(k, SABR_vol, CallPut)
bs_vega = b_s.BS_vega(k, SABR_vol)
SABR_vol_alpha_shift = lognormal_vol(k, f, t, alpha * 1.01, beta, rho,
volvol) * 100
alpha_deri = (SABR_vol - SABR_vol_alpha_shift) / (alpha - 1.01 * alpha)
delta = bs_delta + bs_vega * ((SABR_vol_shift - SABR_vol) /
(f2 - f) + alpha_deri * (rho * volvol /
(f**beta)))
return delta
def get_greeks(row, greek):
b_s = BlackScholes(row['underlying_price'], 0, 0, row['mtr'])
if greek == 'gamma':
result = b_s.BS_gamma(row['Strike'], row['m_mid_vol'])
elif greek == 'theta':
result = b_s.BS_theta(row['Strike'], row['m_mid_vol'], row['CallPut'])
elif greek == 'vega':
result = b_s.BS_vega(row['Strike'], row['m_mid_vol'])
elif greek == 'delta':
result = b_s.BS_delta(row['Strike'], row['m_mid_vol'], row['CallPut'])
elif greek == 'vanna':
result = b_s.BS_vanna(row['Strike'], row['m_mid_vol'])
elif greek == 'volga':
result = b_s.BS_volga(row['Strike'], row['m_mid_vol'])
elif greek == 'gamma_deri':
result = b_s.BS_gamma_deri(row['Strike'], row['m_mid_vol'])
return result
def SABR_bs_delta(f, t, k, CallPut, alpha, beta, rho, volvol):
b_s = BlackScholes(f, 0, 0, t)
SABR_vol = lognormal_vol(k, f, t, alpha, beta, rho, volvol) * 100
bs_delta = b_s.BS_delta(k, SABR_vol, CallPut)
return bs_delta
def get_delta(row):
b_s = BlackScholes(row['underlying_price'], interest_rate, dividend, ttm)
delta = b_s.BS_delta(row['Strike'], row['m_mid_vol'], row['CallPut'])
return delta