def test_putcallpair_addoption_expiration_error_on_different_expiration(
self):
pair = PutCallPair()
self.assertEqual(None, pair._expiration)
self.assertEqual(None, pair.expiration)
pair.addoption(self.option_contract_put)
opt_contract_dict_call = {
'_id': '577a573e4b01f47f84d0cbd5',
'callorput': 'c',
'cqgsymbol': 'P.US.EPH1427750',
'expirationdate': datetime(2014, 3, 22, 0, 0),
'idcontract': 4736,
'idinstrument': 11,
'idoption': 11558454,
'optionmonth': 'H',
'optionmonthint': 3,
'optionname': 'P.US.EPH1427750',
'optionyear': 2014,
'strikeprice': 2775.0
}
self.assertEqual(pair.expiration, datetime(2014, 3, 21, 0, 0))
option_contract_call = OptionContract(opt_contract_dict_call,
self.fut_contract)
self.assertRaises(ValueError, pair.addoption, option_contract_call)
def test_putcallpair_has_p(self):
pair = PutCallPair()
self.assertEqual(None, pair.P)
self.assertEqual(None, pair.p)
pair.addoption(self.option_contract_put)
self.assertEqual(self.option_contract_put, pair.P)
self.assertEqual(self.option_contract_put, pair.p)
self.assertEqual(self.option_contract_put, pair.put)
def test_putcallpair_has_underlying(self):
pair = PutCallPair()
self.assertEqual(None, pair.underlying)
pair.addoption(self.option_contract_put)
self.assertEqual(self.fut_contract, pair.underlying)
opt_contract_dict_call = {
'_id': '577a573e4b01f47f84d0cbd5',
'callorput': 'c',
'cqgsymbol': 'P.US.EPH1427750',
'expirationdate': datetime(2014, 3, 21, 0, 0),
'idcontract': 4736,
'idinstrument': 11,
'idoption': 11558454,
'optionmonth': 'H',
'optionmonthint': 3,
'optionname': 'P.US.EPH1427750',
'optionyear': 2014,
'strikeprice': 2775.0
}
option_contract_call = OptionContract(opt_contract_dict_call,
self.fut_contract)
pair = PutCallPair()
pair.addoption(option_contract_call)
self.assertEqual(self.fut_contract, pair.underlying)
def __init__(self, option_chain_dic, futures_contract, options_limit=0):
self._data = option_chain_dic
self._fut = futures_contract
self._options = OrderedDict()
self._atm_index = -1
self._options_limit = options_limit
self._expiration = self._data['_id']['date']
if options_limit > 0:
all_strikes = np.array(
sorted(
list(set([x['strikeprice']
for x in self._data['chain']]))))
atm_index = np.argmin(np.abs(all_strikes - self.underlying.price))
all_strikes = all_strikes[max(0, atm_index - options_limit):min(
len(self._data['chain']), atm_index + options_limit + 1)]
for opt_dic in self._data['chain']:
if options_limit > 0:
if opt_dic['strikeprice'] not in all_strikes:
continue
option = OptionContract(opt_dic, self._fut)
pc_pair = self._options.setdefault(option.strike, PutCallPair())
pc_pair.addoption(option)
self._strike_array = np.array(list(self._options.keys()))
def test_putcallpair_has_repr(self):
pair = PutCallPair()
pair.addoption(self.option_contract_put)
opt_contract_dict_call = {
'_id': '577a573e4b01f47f84d0cbd5',
'callorput': 'c',
'cqgsymbol': 'P.US.EPH1427750',
'expirationdate': datetime(2014, 3, 21, 0, 0),
'idcontract': 4736,
'idinstrument': 11,
'idoption': 11558454,
'optionmonth': 'H',
'optionmonthint': 3,
'optionname': 'P.US.EPH1427750',
'optionyear': 2014,
'strikeprice': 2775.0
}
option_contract_call = OptionContract(opt_contract_dict_call,
self.fut_contract)
pair.addoption(option_contract_call)
self.assertEqual(
pair.__repr__(),
"{0} {1} / {2}".format(pair.strike, pair.call.name, pair.put.name))
def test_putcallpair_addoption_error_on_duclicate(self):
pair = PutCallPair()
pair.addoption(self.option_contract_put)
self.assertRaises(ValueError, pair.addoption, self.option_contract_put)
def test_putcallpair_addoption(self):
pair = PutCallPair()
pair.addoption(self.option_contract_put)
self.assertEqual(pair._put, self.option_contract_put)
self.assertEqual(pair._call, None)
def test_constructor(self):
pair = PutCallPair()
self.assertEqual(pair._put, None)
self.assertEqual(pair._call, None)
self.assertTrue(np.isnan(pair._strike))
def test_putcallpair_addoption_expiration_set(self):
pair = PutCallPair()
self.assertEqual(None, pair._expiration)
self.assertEqual(None, pair.expiration)
pair.addoption(self.option_contract_put)
self.assertEqual(pair.expiration, datetime(2014, 3, 21, 0, 0))
def test_putcallpair_has_expiration(self):
pair = PutCallPair()
self.assertEqual(None, pair._expiration)
self.assertEqual(None, pair.expiration)
pair.addoption(self.option_contract_put)
def test_putcallpair_has_strike(self):
pair = PutCallPair()
pair.addoption(self.option_contract_put)
self.assertEqual(pair._put, self.option_contract_put)
self.assertEqual(pair._call, None)
self.assertEqual(pair.strike, 2775.0)