def calculateVolatility(self, primium, type, stockPrice, strike, expiryYears, riskfreeRate):
if stockPrice <= 0 or primium <= 0 or expiryYears <= 0:
return 0
bs = BlackScholesCalculator()
loopVolatility = self.initVolatility(stockPrice, expiryYears, primium)
prevVolatility = loopVolatility / 2.0
loopPremium = bs.getValue(type, stockPrice, strike, prevVolatility, expiryYears, riskfreeRate)
loop = 0
while (1 == 1):
loop += 1
if loop > 1000: return -1
newPrimium = bs.getValue(type, stockPrice, strike, loopVolatility, expiryYears, riskfreeRate)
prevPrimium = loopPremium
loopPrimium = newPrimium
if newPrimium < 0.00001: return -1
var1 = loopPrimium - primium
if (abs(loopPrimium - primium) <= 0.01):
return loopVolatility
loopVega = bs.getVega(stockPrice, strike, loopVolatility, expiryYears, riskfreeRate)
newVolatility = self.adjVolatility(loopVolatility, loopPrimium, loopVega, prevVolatility, prevPrimium, primium)
prevVolatility = loopVolatility
loopVolatility = newVolatility
# -*- coding: utf-8 -*-
"""
Created on Thu Sep 17 12:55:25 2015
@author: ka
"""
import sys
sys.dont_write_bytecode = True
from entity.EuropeanOptions import *
from model.BlackScholesCalculator import *
bs = BlackScholesCalculator()
opt = EuropeanOptions("call", 100.0, 100.0, 0.35607, 1, 0.02)
value = bs.getValue(opt.type, opt.stockPrice, opt.strike, opt.volatility, opt.expiryYears, opt.riskfreeRate)
print "value of call:", value
delta = bs.getDelta(opt.type, opt.stockPrice, opt.strike, opt.volatility, opt.expiryYears, opt.riskfreeRate)
print "delta of call:", delta
theta = bs.getTheta(opt.type, opt.stockPrice, opt.strike, opt.volatility, opt.expiryYears, opt.riskfreeRate)
print "theta of call:", theta
rho = bs.getRho(opt.type, opt.stockPrice, opt.strike, opt.volatility, opt.expiryYears, opt.riskfreeRate)
print "rho of call:", rho
print
def main():
PortfolioData = '../Strategy/' + 'Bear Put Spread.csv'
# PortfolioData = '../Strategy/' + 'Bear Put Spread.csv'
try:
qd = open(PortfolioData, 'r')
qd_head = []
qd_head.append(qd.readline())
qd_head.append(qd.readline())
qd.close()
except:
sys.stderr.write("Usage: OptionStrategy.py PortfolioData.dat\n")
sys.stderr.write("Couldn't read PortfolioData")
sys.exit(1)
bs = BlackScholesCalculator()
first = qd_head[0].split(',')
second = qd_head[1].split(',')
stockPrice = float(first[1])
riskfreeRate = float(first[2])
optionStyle = first[3]
daysFromToday = float(second[1])
plVolatility = float(second[2])
plRiskfreeRate = float(second[3])
plMin = float(second[4])
plMax = float(second[5])
priceStep = (float(plMax) - float(plMin)) / 36.0
data = pd.io.parsers.read_csv(PortfolioData, sep=',', header=2, na_values=' ')
print data.tail(9)
plCurrent = plMin
results = pd.DataFrame([], columns=list('ABC'))
while (plCurrent <= plMax):
todayValue = 0
expiryValue = 0
totalPremium = 0
for i in data.index:
if data.Buy_Sell[i].lower() == 'sell':
positionFactor = -1
else:
positionFactor = 1
quantity = float(data.Quantity[i])
totalPremium += float(data.Primium[i]) * positionFactor * quantity
theTodayValue = bs.getValue(data.Call_Put_Stock[i].lower(),
plCurrent,
float(data.Strike[i]),
plVolatility,
(float(data.ExpiryDays[i]) - daysFromToday) / 365.0,
riskfreeRate)
theExpiryValue = getProfitValue(data.Call_Put_Stock[i].lower(),
plCurrent,
float(data.Strike[i]))
todayValue += theTodayValue * positionFactor * quantity
expiryValue += theExpiryValue * positionFactor * quantity
print plCurrent, i, ':', theExpiryValue, expiryValue
theResult = pd.DataFrame([[plCurrent, todayValue - totalPremium, expiryValue - totalPremium]], columns=list('ABC'))
results = results.append(theResult)
plCurrent += priceStep
print results.tail(10)
results.plot(x='A', y=list('BC'))
