close = mktData[mktFlds.index('close')][mktindex]
open = mktData[mktFlds.index('open')][mktindex]
amount = mktData[mktFlds.index('amount')][mktindex]
ttm = daycounter.yearFraction(evalDate, maturitydt)
try:
rf = curve.zeroRate(maturitydt, daycounter,
ql.Continuous).rate()
except:
rf = 0.0
Ft = spot * math.exp(rf * ttm)
moneyness = math.log(strike / Ft, math.e)
optiontype = ql.Option.Call
implied_vol, error = calculate_vol_BS(maturitydt,
optiontype,
strike,
spot,
dividend_ts,
yield_ts,
close,
evalDate,
calendar,
daycounter,
precision=0.05,
maxVol=0.5,
step=0.0001)
totalvariance = (implied_vol**2) * ttm
svi_dataset.update_data(mdate, strike, moneyness, implied_vol, ttm,
totalvariance, close, open, amount)
svi_dataset_ts.append(svi_dataset)
print(svi_dataset_ts)
def get_call_put_impliedVols_tbcurve(
evalDate, daycounter, calendar, maxVol=1.0, step=0.0001, precision=0.05, show=True):
call_volatilities_0 = {}
call_volatilities_1 = {}
call_volatilities_2 = {}
call_volatilities_3 = {}
put_volatilites_0 = {}
put_volatilites_1 = {}
put_volatilites_2 = {}
put_volatilites_3 = {}
e_date0, e_date1, e_date2, e_date3 = 0, 0, 0, 0
try:
curve = get_curve_treasury_bond(evalDate, daycounter)
vols, spot, mktData, mktFlds, optionData, optionFlds, optionids = get_wind_data(evalDate)
ql.Settings.instance().evaluationDate = evalDate
yield_ts = ql.YieldTermStructureHandle(curve)
dividend_ts = ql.YieldTermStructureHandle(ql.FlatForward(evalDate, 0.0, daycounter))
month_indexs = get_contract_months(evalDate)
for idx, optionid in enumerate(optionids):
optionDataIdx = optionData[optionFlds.index('wind_code')].index(optionid)
mdate = pd.to_datetime(optionData[optionFlds.index('exercise_date')][optionDataIdx])
maturitydt = ql.Date(mdate.day, mdate.month, mdate.year)
mktindex = mktData[mktFlds.index('option_code')].index(optionid)
strike = optionData[optionFlds.index('exercise_price')][optionDataIdx]
close = mktData[mktFlds.index('close')][mktindex]
ttm = daycounter.yearFraction(evalDate, maturitydt)
rf = curve.zeroRate(maturitydt, daycounter, ql.Continuous).rate()
nbr_month = maturitydt.month()
if nbr_month == month_indexs[0]:
e_date0 = maturitydt
Ft = spot * math.exp(rf * ttm)
moneyness = math.log(strike / Ft, math.e)
if optionData[optionFlds.index('call_or_put')][optionDataIdx] == '认购':
optiontype = ql.Option.Call
implied_vol, error = calculate_vol_BS(maturitydt, optiontype, strike, spot, dividend_ts, yield_ts,
close, evalDate, calendar, daycounter, precision, maxVol,
step)
call_volatilities_0.update({moneyness: [implied_vol, strike, close]})
else:
optiontype = ql.Option.Put
implied_vol, error = calculate_vol_BS(maturitydt, optiontype, strike, spot, dividend_ts, yield_ts,
close, evalDate,
calendar, daycounter, precision, maxVol, step)
put_volatilites_0.update({moneyness: [implied_vol, strike, close]})
elif nbr_month == month_indexs[1]:
e_date1 = maturitydt
Ft = spot * math.exp(rf * ttm)
moneyness = math.log(strike / Ft, math.e)
if optionData[optionFlds.index('call_or_put')][optionDataIdx] == '认购':
optiontype = ql.Option.Call
implied_vol, error = calculate_vol_BS(maturitydt, optiontype, strike, spot, dividend_ts, yield_ts,
close, evalDate, calendar, daycounter, precision, maxVol,
step)
call_volatilities_1.update({moneyness: [implied_vol, strike, close]})
else:
optiontype = ql.Option.Put
implied_vol, error = calculate_vol_BS(maturitydt, optiontype, strike, spot, dividend_ts, yield_ts,
close, evalDate,
calendar, daycounter, precision, maxVol, step)
put_volatilites_1.update({moneyness: [implied_vol, strike, close]})
elif nbr_month == month_indexs[2]:
e_date2 = maturitydt
Ft = spot * math.exp(rf * ttm)
moneyness = math.log(strike / Ft, math.e)
if optionData[optionFlds.index('call_or_put')][optionDataIdx] == '认购':
optiontype = ql.Option.Call
implied_vol, error = calculate_vol_BS(maturitydt, optiontype, strike, spot, dividend_ts, yield_ts,
close, evalDate, calendar, daycounter, precision, maxVol,
step)
call_volatilities_2.update({moneyness: [implied_vol, strike, close]})
else:
optiontype = ql.Option.Put
implied_vol, error = calculate_vol_BS(maturitydt, optiontype, strike, spot, dividend_ts, yield_ts,
close, evalDate,
calendar, daycounter, precision, maxVol, step)
put_volatilites_2.update({moneyness: [implied_vol, strike, close]})
else:
e_date3 = maturitydt
Ft = spot * math.exp(rf * ttm)
moneyness = math.log(strike / Ft, math.e)
if optionData[optionFlds.index('call_or_put')][optionDataIdx] == '认购':
optiontype = ql.Option.Call
implied_vol, error = calculate_vol_BS(maturitydt, optiontype, strike, spot, dividend_ts, yield_ts,
close, evalDate, calendar, daycounter, precision, maxVol,
step)
call_volatilities_3.update({moneyness: [implied_vol, strike, close]})
else:
optiontype = ql.Option.Put
implied_vol, error = calculate_vol_BS(maturitydt, optiontype, strike, spot, dividend_ts, yield_ts,
close, evalDate,
calendar, daycounter, precision, maxVol, step)
put_volatilites_3.update({moneyness: [implied_vol, strike, close]})
expiration_dates = [e_date0, e_date1, e_date2, e_date3]
cal_vols = [call_volatilities_0, call_volatilities_1, call_volatilities_2, call_volatilities_3]
put_vols = [put_volatilites_0, put_volatilites_1, put_volatilites_2, put_volatilites_3]
except Exception as e:
print('Error -- get_call_put_impliedVols failed')
print(e)
return
return cal_vols, put_vols, expiration_dates, spot, curve