def main():
"""Set up the option!"""
strike = 40.0
expiry = .25
"""Set up the Market Data!"""
spot = 41.0
rate = 0.08
volatility = 0.30
dividend = 0.0
"""Set up the Pricing Engine!"""
time_steps = 25
replications =500
call = VanillaPayoff(expiry, strike, call_payoff)
data = MarketData(rate, spot, volatility, dividend)
"""Set up Black Scholes Price!"""
the_call = VanillaPayoff(expiry, strike, call_payoff)
BS_engine = BlackScholesPricingEngine("call", BlackScholesPricer)
BS_option = OptionFacade(the_call, BS_engine, data)
BS_price = BS_option.price()
print("The call price via BLack Scholes is: {0:.3f}".format(BS_price))
"""Naive Monte Carlo"""
the_call = VanillaPayoff(expiry, strike, call_payoff)
the_data = MarketData(rate, spot, volatility, dividend)
mc_engine = MonteCarloPricingEngine(replications, time_steps, Naive_Monte_Carlo_Pricer)
the_option = OptionFacade(the_call, mc_engine, the_data)
MC_price = the_option.price()
print("The Naive Monte Carlo Call Price is {0:.3f}".format(MC_price))
"""Antithetic Monte Carlo"""
anti_mc_engine = MonteCarloPricingEngine(replications, time_steps, Antithetic_Monte_Carlo_Pricer)
anti_option = OptionFacade(the_call, anti_mc_engine, the_data)
anti_price = anti_option.price()
print("The Antithetic Monte Carlo Call Price is {0:.3f}".format(anti_price))
"""Stratified Monte Carlo"""
strat_mc_engine = MonteCarloPricingEngine(replications, time_steps, Stratified_Monte_Carlo_Pricer)
strat_option = OptionFacade(the_call, strat_mc_engine, the_data)
strat_price = strat_option.price()
print("The Stratified Monte Carlo Call Price is {0:.3f}".format(strat_price))
"""Control Variate Monte Carlo"""
convar_mc_engine = MonteCarloPricingEngine(replications, time_steps, ControlVariatePricer)
convar_option = OptionFacade(the_call, convar_mc_engine, the_data)
convar_price = convar_option.price()
print("The Call Price via Control Variate Monte Carlo is {0:.3f}".format(convar_price))
def main():
"""Set up the option!"""
strike = 40.0
expiry = .25
"""Set up the Market Data!"""
spot = 41.0
rate = 0.08
volatility = 0.30
dividend = 0.0
"""Set up the European Binomial Pricing Engine!"""
steps = 500
call = VanillaPayoff(expiry, strike, call_payoff)
data = MarketData(rate, spot, volatility, dividend)
binom_engine = BinomialPricingEngine(steps, EuropeanBinomialPricer)
"""Calculate the Price"""
the_option = OptionFacade(call, binom_engine, data)
price = the_option.price()
print("The European Binomial Call Price is {0:.3f}".format(price))
"""Set up Black Scholes Price!"""
the_call = VanillaPayoff(expiry, strike, call_payoff)
BS_engine = BlackScholesPricingEngine("call", BlackScholesPricer)
BS_option = OptionFacade(the_call, BS_engine, data)
BS_price = BS_option.price()
print("The call price via BLack Scholes is: {0:.3f}".format(BS_price))
def main():
strike = 40.0
expiry = .25
spot = 41.0
rate = 0.08
volatility = 0.30
dividend = 0.0
steps = 500
the_call = VanillaPayoff(expiry, strike, call_payoff)
the_data = MarketData(rate, spot, volatility, dividend)
binom_engine = BinomialPricingEngine(steps, EuropeanBinomialPricer)
the_option = OptionFacade(the_call, binom_engine, the_data)
price = the_option.price()
print("The Call Price is {0:.3f}".format(price))
def main():
strike = 40.0
expiry = .25
spot = 41.0
rate = 0.08
volatility = 0.30
dividend = 0.0
time_steps = 100
replications = 1000
the_call = VanillaPayoff(expiry, strike, call_payoff)
the_data = MarketData(rate, spot, volatility, dividend)
strat_mc_engine = MonteCarloPricingEngine(time_steps, replications, Stratified_Monte_Carlo_Pricer)
the_option = OptionFacade(the_call, strat_mc_engine, the_data)
price = the_option.price()
print("The Call Price is {0:.3f}".format(price))
def main():
"""Set up the option!"""
expiry = 0.25
strike = 40.0
"""Set up the data!"""
spot = 41.0
rate = 0.08
volatility = 0.30
dividend = 0.0
"""set up the engine!"""
#steps = 500
#type = "Put"
bs_engine = BlackScholesPricingEngine("call", BlackScholesPricer)
the_data = MarketData(rate, spot, volatility, dividend)
the_call = VanillaPayoff(expiry, strike, call_payoff)
option2 = OptionFacade(the_call, bs_engine, the_data)
price2 = option2.price()
print("The call price via Black-Scholes is: {0:.3f}".format(price2))
from probo.marketdata import MarketData
from probo.payoff import VanillaPayoff, call_payoff, put_payoff
from probo.engine import AsianMonteCarloEngine, NaiveMonteCarloPricer, AsianPricer
from probo.facade import OptionFacade
## Set up the market data
spot = 100.0
rate = 0.06
volatility = 0.20
dividend = 0.03
thedata = MarketData(rate, spot, volatility, dividend)
## Set up the option
expiry = 1.0
strike = 100.0
thecall = VanillaPayoff(expiry, strike, call_payoff)
#theput = VanillaPayoff(expiry, strike, put_payoff)
## Set up Naive Monte Carlo
nreps = 100
steps = 10
pricer = AsianPricer
mcengine = AsianMonteCarloEngine(nreps, steps, pricer)
## Calculate the price
option1 = OptionFacade(thecall, mcengine, thedata)
price1 = option1.price()
print("The call price via Naive Monte Carlo is: {0:.3f}".format(price1))
## Only works for calls
#option2 = OptionFacade(theput, mcengine, thedata)
from probo.marketdata import MarketData
from probo.payoff import VanillaPayoff, call_payoff, put_payoff
from probo.engine import MonteCarloEngine, lsmPricer
from probo.facade import OptionFacade
## Set up the market data
spot = 1.0
rate = 0.06
volatility = 0.30
dividend = 0.0
thedata = MarketData(rate, spot, volatility, dividend)
## Set up the option
expiry = 3.0
strike = 1.10
thecall = VanillaPayoff(expiry, strike, call_payoff)
theput = VanillaPayoff(expiry, strike, put_payoff)
## Set up Naive Monte Carlo
nreps = 8
steps = 3
pricer = lsmPricer
mcengine = MonteCarloEngine(nreps, steps, pricer)
## Calculate the price
option2 = OptionFacade(theput, mcengine, thedata)
price2 = option2.price()
print("The put price via Least Squares Monte Carlo is: {0:.3f}".format(price2))
from probo.payoff import VanillaPayoff, call_payoff, put_payoff, ArithmeticAsianCallPayoff, ArithmeticAsianPutPayoff
from probo.engine import MonteCarloEngine, NaiveMonteCarloPricer, AsianPricer
from probo.facade import OptionFacade
## Set up the market data
spot = 41.0
rate = 0.08
volatility = 0.30
dividend = 0.0
thedata = MarketData(rate, spot, volatility, dividend)
## Set up the option
expiry = 1.0
strike = 40.0
thecall = ArithmeticAsianCallPayoff(expiry, strike, call_payoff)
theput = VanillaPayoff(expiry, strike, put_payoff)
## Set up Naive Monte Carlo
nreps = 100000
steps = 1
pricer = AsianPricer
mcengine = MonteCarloEngine(nreps, steps, pricer)
## Calculate the price
option1 = OptionFacade(thecall, mcengine, thedata)
price1 = option1.price()
print("The call price via Naive Monte Carlo is: {0:.3f}".format(price1))
option2 = OptionFacade(theput, mcengine, thedata)
price2 = option2.price()
print("The put price via Naive Monte Carlo is: {0:.3f}".format(price2))
