ttm = daycounter.yearFraction(begDate, maturitydt)
price_svi, delta_svi, price_bs, delta_bs, svi_vol = exotic_util.calculate_matrics(
evaluation, daycounter, calendar, optionBarrierEuropean, hist_spots, daily_close,
black_var_surface, const_vol, engineType,ttm)
except Exception as e:
print(e)
print('initial price unavailable')
# init_svi = price_svi
# init_bs = price_bs
init_spot = daily_close
init_svi = init_bs = max(price_bs, price_svi)
if init_svi <= 0.001 or init_bs <= 0.001: continue
# rebalancing positions
tradingcost_svi, cash_svi, portfolio_net_svi, totalfees_svi, tradedamt_svi = \
exotic_util.calculate_hedging_positions(daily_close, price_svi, delta_svi, init_svi, fee,tradedamt_svi)
tradingcost_bs, cash_bs, portfolio_net_bs, totalfees_bs, tradedamt_bs = \
exotic_util.calculate_hedging_positions(daily_close, price_bs, delta_bs, init_bs, fee,tradedamt_bs)
# print(delta_svi,delta_bs)
holdamt_svi += abs(delta_svi)
holdamt_bs += abs(delta_bs)
last_delta_svi = delta_svi
last_delta_bs = delta_bs
last_price_svi = price_svi
last_price_bs = price_bs
last_s = daily_close
hist_spots.append(daily_close)
marked = daily_close
#######################################################################################################
# Rebalancing portfolio
# while begDate < endDate:
ttm = daycounter.yearFraction(begDate, maturitydt)
price_svi, price_bs, delta_svi, delta_bs = 0.0, 0.0, 0.0, 0.0
try:
price_svi, delta_svi, price_bs, delta_bs, svi_vol = exotic_util.calculate_matrics(
evaluation, daycounter, calendar, optionBarrierEuropean, hist_spots,
daily_close, black_var_surface, const_vol, engineType, ttm)
except Exception as e:
print(e)
print('initial price unavailable')
# init_svi = price_svi
# init_bs = price_bs
init_svi = init_bs = max(price_svi, price_bs)
init_spot = daily_close
# rebalancing positions
tradingcost_svi, cash_svi, portfolio_net_svi, totalfees_svi, rebalance_cont = exotic_util.calculate_hedging_positions(
daily_close, price_svi, delta_svi, init_svi, fee)
tradingcost_bs, cash_bs, portfolio_net_bs, totalfees_bs, e1 = exotic_util.calculate_hedging_positions(
daily_close, price_bs, delta_bs, init_bs, fee)
last_delta_svi = delta_svi
last_delta_bs = delta_bs
last_price_svi = price_svi
last_price_bs = price_bs
last_s = daily_close
hist_spots.append(daily_close)
print('init option price, ', 'svi: ', price_svi, 'bs: ', price_bs)
print('-' * 200)
print(
"%15s %15s %15s %15s %15s %15s %15s %15s %15s %15s %15s" %
(begDate, round(daily_close, 4), round(svi_vol, 4), round(const_vol, 4),
ttm = daycounter.yearFraction(begDate, maturitydt)
price_svi, delta_svi, price_bs, delta_bs, svi_vol = exotic_util.calculate_matrics(
evaluation, daycounter, calendar, optionBarrierEuropean, hist_spots, daily_close,
black_var_surface, const_vol, engineType,ttm)
except Exception as e:
print(e)
print('initial price unavailable')
# init_svi = price_svi
# init_bs = price_bs
init_spot = daily_close
init_svi = init_bs = max(price_bs, price_svi)
if init_svi <= 0.001 or init_bs <= 0.001: continue
# rebalancing positions
tradingcost_svi, cash_svi, portfolio_net_svi, totalfees_svi, rebalance_cont = \
exotic_util.calculate_hedging_positions(daily_close, price_svi, delta_svi, init_svi, fee)
tradingcost_bs, cash_bs, portfolio_net_bs, totalfees_bs, e1 = \
exotic_util.calculate_hedging_positions(daily_close, price_bs, delta_bs, init_bs, fee)
tradedvalue_svi += abs(delta_svi) * daily_close
tradedvalue_bs += abs(delta_bs) * daily_close
deltacont_svi.append(abs(delta_svi))
deltacont_bs.append(abs(delta_bs))
last_delta_svi = delta_svi
last_delta_bs = delta_bs
last_price_svi = price_svi
last_price_bs = price_bs
last_s = daily_close
hist_spots.append(daily_close)
marked = daily_close
#######################################################################################################
# Rebalancing portfolio
