def test_FinVolatilityCurve():
valueDate = FinDate(2012, 6, 20)
expiryDate = FinDate(2012, 12, 20)
strikes = np.linspace(70, 130, 7)
vols = np.array([0.23, 0.24, 0.267, 0.29, 0.31, 0.33, 0.35])
polynomial = 5
volCurve = FinEquityVolCurve(valueDate, expiryDate, strikes, vols,
polynomial)
interpStrikes = np.linspace(50, 150, 100)
interpVols = volCurve.volatility(interpStrikes)
if PLOT_GRAPHS:
import matplotlib.pyplot as plt
plt.plot(strikes, vols, 'o', interpStrikes, interpVols)
plt.show()
def test_FinEquityVarianceSwap():
startDate = FinDate(20, 3, 2018)
tenor = "3M"
strike = 0.3 * 0.3
volSwap = FinEquityVarianceSwap(startDate, tenor, strike)
valuationDate = FinDate(20, 3, 2018)
stockPrice = 100.0
dividendYield = 0.0
dividendCurve = FinDiscountCurveFlat(valuationDate, dividendYield)
maturityDate = startDate.addMonths(3)
atmVol = 0.20
atmK = 100.0
skew = -0.02 / 5.0 # defined as dsigma/dK
strikes = np.linspace(50.0, 135.0, 18)
vols = volSkew(strikes, atmVol, atmK, skew)
volCurve = FinEquityVolCurve(valuationDate, maturityDate, strikes, vols)
strikeSpacing = 5.0
numCallOptions = 10
numPutOptions = 10
r = 0.05
discountCurve = FinDiscountCurveFlat(valuationDate, r)
useForward = False
testCases.header("LABEL", "VALUE")
k1 = volSwap.fairStrike(valuationDate, stockPrice, dividendCurve, volCurve,
numCallOptions, numPutOptions, strikeSpacing,
discountCurve, useForward)
testCases.print("REPLICATION VARIANCE:", k1)
k2 = volSwap.fairStrikeApprox(valuationDate, stockPrice, strikes, vols)
testCases.print("DERMAN SKEW APPROX for K:", k2)