def _blsimpv(price, spot, strike, risk_free_rate, time, option_type, dividend):
spot = SimpleQuote(spot)
daycounter = ActualActual(ISMA)
risk_free_ts = FlatForward(today(), risk_free_rate, daycounter)
dividend_ts = FlatForward(today(), dividend, daycounter)
volatility_ts = BlackConstantVol(today(), NullCalendar(), .3, daycounter)
process = BlackScholesMertonProcess(spot, dividend_ts, risk_free_ts,
volatility_ts)
exercise_date = today() + Period(time * 365, Days)
exercise = EuropeanExercise(exercise_date)
payoff = PlainVanillaPayoff(option_type, strike)
option = EuropeanOption(payoff, exercise)
engine = AnalyticEuropeanEngine(process)
option.set_pricing_engine(engine)
accuracy = 0.001
max_evaluations = 1000
min_vol = 0.01
max_vol = 2
vol = option.implied_volatility(price, process, accuracy, max_evaluations,
min_vol, max_vol)
return vol
def _blsimpv(price, spot, strike, risk_free_rate, time,
option_type='Call', dividend=0.0):
spot = SimpleQuote(spot)
daycounter = ActualActual()
risk_free_ts = FlatForward(today(), risk_free_rate, daycounter)
dividend_ts = FlatForward(today(), dividend, daycounter)
volatility_ts = BlackConstantVol(today(), NullCalendar(),
.3, daycounter)
process = BlackScholesMertonProcess(spot, dividend_ts,
risk_free_ts, volatility_ts)
exercise_date = today() + Period(time * 365, Days)
exercise = EuropeanExercise(exercise_date)
payoff = PlainVanillaPayoff(option_type, strike)
option = EuropeanOption(payoff, exercise)
engine = AnalyticEuropeanEngine(process)
option.set_pricing_engine(engine)
accuracy = 0.001
max_evaluations = 1000
min_vol = 0.01
max_vol = 2
vol = option.implied_volatility(price, process,
accuracy,
max_evaluations,
min_vol,
max_vol)
return vol
def blsprice(spot, strike, risk_free_rate, time, volatility,
option_type='Call', dividend=0.0):
"""
Black-Scholes option pricing model
"""
spot = SimpleQuote(spot)
daycounter = Actual360()
risk_free_ts = FlatForward(today(), risk_free_rate, daycounter)
dividend_ts = FlatForward(today(), dividend, daycounter)
volatility_ts = BlackConstantVol(today(), NullCalendar(),
volatility, daycounter)
process = BlackScholesMertonProcess(spot, dividend_ts,
risk_free_ts, volatility_ts)
exercise_date = today() + 90
exercise = EuropeanExercise(exercise_date)
payoff = PlainVanillaPayoff(option_type, strike)
option = EuropeanOption(payoff, exercise)
engine = AnalyticEuropeanEngine(process)
option.set_pricing_engine(engine)
return option.npv
def _blsprice(spot,
strike,
risk_free_rate,
time,
volatility,
option_type='Call',
dividend=0.0,
calc='price'):
"""
Black-Scholes option pricing model + greeks.
"""
_spot = SimpleQuote(spot)
daycounter = ActualActual(ISMA)
risk_free_ts = FlatForward(today(), risk_free_rate, daycounter)
dividend_ts = FlatForward(today(), dividend, daycounter)
volatility_ts = BlackConstantVol(today(), NullCalendar(), volatility,
daycounter)
process = BlackScholesMertonProcess(_spot, dividend_ts, risk_free_ts,
volatility_ts)
exercise_date = today() + Period(time * 365, Days)
exercise = EuropeanExercise(exercise_date)
payoff = PlainVanillaPayoff(option_type, strike)
option = EuropeanOption(payoff, exercise)
engine = AnalyticEuropeanEngine(process)
option.set_pricing_engine(engine)
if calc == 'price':
res = option.npv
elif calc == 'delta':
res = option.delta
elif calc == 'gamma':
res = option.gamma
elif calc == 'theta':
res = option.theta
elif calc == 'rho':
res = option.rho
elif calc == 'vega':
res = option.vega
elif calc == 'lambda':
res = option.delta * spot / option.npv
else:
raise ValueError('calc type %s is unknown' % calc)
return res
def _blsprice(spot, strike, risk_free_rate, time, volatility,
option_type='Call', dividend=0.0, calc='price'):
"""
Black-Scholes option pricing model + greeks.
"""
_spot = SimpleQuote(spot)
daycounter = ActualActual(ISMA)
risk_free_ts = FlatForward(today(), risk_free_rate, daycounter)
dividend_ts = FlatForward(today(), dividend, daycounter)
volatility_ts = BlackConstantVol(today(), NullCalendar(),
volatility, daycounter)
process = BlackScholesMertonProcess(_spot, dividend_ts,
risk_free_ts, volatility_ts)
exercise_date = today() + Period(time * 365, Days)
exercise = EuropeanExercise(exercise_date)
payoff = PlainVanillaPayoff(option_type, strike)
option = EuropeanOption(payoff, exercise)
engine = AnalyticEuropeanEngine(process)
option.set_pricing_engine(engine)
if calc == 'price':
res = option.npv
elif calc == 'delta':
res = option.delta
elif calc == 'gamma':
res = option.gamma
elif calc == 'theta':
res = option.theta
elif calc == 'rho':
res = option.rho
elif calc == 'vega':
res = option.vega
elif calc == 'lambda':
res = option.delta * spot / option.npv
else:
raise ValueError('calc type %s is unknown' % calc)
return res
def blsprice(spot, strike, risk_free_rate, time, volatility, option_type='Call', dividend=0.0):
""" """
spot = SimpleQuote(spot)
daycounter = Actual360()
risk_free_ts = FlatForward(today(), risk_free_rate, daycounter)
dividend_ts = FlatForward(today(), dividend, daycounter)
volatility_ts = BlackConstantVol(today(), NullCalendar(), volatility, daycounter)
process = BlackScholesMertonProcess(spot, dividend_ts, risk_free_ts, volatility_ts)
exercise_date = today() + 90
exercise = EuropeanExercise(exercise_date)
payoff = PlainVanillaPayoff(option_type, strike)
option = EuropeanOption(payoff, exercise)
engine = AnalyticEuropeanEngine(process)
option.set_pricing_engine(engine)
return option.npv
