def test_analytical_rho(self):
while self.tdi.has_next():
row = self.tdi.next_row()
S, K, t, r, sigma = row['S'], row['K'], row['t'], row['R'], row[
'v']
self.assertTrue(
almost_equal(analytical.rho('c', S, K, t, r, sigma),
row['CR'] * .01,
epsilon=.000000001))
self.assertTrue(
almost_equal(analytical.rho('p', S, K, t, r, sigma),
row['PR'] * .01,
epsilon=.000000001))
def test_analytical_rho(self):
while self.tdi.has_next():
row = self.tdi.next_row()
S,K,t,r,sigma = row['S'],row['K'],row['t'],row['R'],row['v']
self.assertTrue(
almost_equal(
analytical.rho('c', S, K, t, r, sigma), row['CR']*.01, epsilon=.000000001
)
)
self.assertTrue(
almost_equal(
analytical.rho('p', S, K, t, r, sigma), row['PR']*.01, epsilon=.000000001
)
)
def implied_vol_calc(exp, fut, option):
global rate
iv_fun = lambda x: implied_volatility(x['SETTLE_PR'], fut, x[
'STRIKE_PR'], exp, 0.1, 'c' if x.OPTION_TYP == 'CE' else 'p') * 100
#vollib.black_scholes.greeks.numerical.delta(flag, S, K, t, r, sigma)
option['VOLATILITY'] = option.apply(iv_fun, axis=1)
delta_fun = lambda x: delta(('c' if x.OPTION_TYP == 'CE' else 'p'), fut, x[
'STRIKE_PR'], exp, 0.1, x.VOLATILITY / 100)
gamma_fun = lambda x: gamma(('c' if x.OPTION_TYP == 'CE' else 'p'), fut, x[
'STRIKE_PR'], exp, 0.1, x.VOLATILITY / 100)
vega_fun = lambda x: vega(('c' if x.OPTION_TYP == 'CE' else 'p'), fut, x[
'STRIKE_PR'], exp, 0.1, x.VOLATILITY / 100)
theta_fun = lambda x: theta(('c' if x.OPTION_TYP == 'CE' else 'p'), fut, x[
'STRIKE_PR'], exp, 0.1, x.VOLATILITY / 100)
rho_fun = lambda x: rho(('c' if x.OPTION_TYP == 'CE' else 'p'), fut, x[
'STRIKE_PR'], exp, 0.1, x.VOLATILITY / 100)
option['DELTA'] = option.apply(delta_fun, axis=1)
option['GAMMA'] = option.apply(gamma_fun, axis=1)
option['VEGA'] = option.apply(vega_fun, axis=1)
option['THETA'] = option.apply(theta_fun, axis=1)
option['RHO'] = option.apply(rho_fun, axis=1)
#Remove option with delta <0.05 for calls and delta >-0.05 for puts
option = option[(option.DELTA > 0.05) | (option.DELTA < -0.05)]
#Remove where no contracts are being traded
option = option[option.CONTRACTS != 0]
option['FUT'] = fut
return option
def test_rho(self):
S = 100.0
for flag in ['c','p']:
for K in numpy.linspace(20,200,10):
for r in numpy.linspace(0,0.2,10):
for sigma in numpy.linspace(0.1,0.5,10):
for t in numpy.linspace(0.01,2,10):
for i in range(5):
val1 = rho(flag, S, K, t, r, sigma)
val2 = nrho(flag, S, K, t, r, sigma)
results_match = abs(val1-val2)<epsilon
if not results_match:
print flag, val1, val2
self.assertTrue(results_match)
def test_rho(self):
S = 100.0
for flag in ['c','p']:
for K in numpy.linspace(20,200,10):
for r in numpy.linspace(0,0.2,10):
for sigma in numpy.linspace(0.1,0.5,10):
for t in numpy.linspace(0.01,2,10):
for i in range(5):
val1 = rho(flag, S, K, t, r, sigma)
val2 = nrho(flag, S, K, t, r, sigma)
results_match = abs(val1-val2)<epsilon
if not results_match:
print flag, val1, val2
self.assertTrue(results_match)
def implied_vol_calc(exp,fut,option):
global rate
iv_fun=lambda x:implied_volatility(x['SETTLE_PR'],fut,x['STRIKE_PR'],exp,0.1,'c' if x.OPTION_TYP=='CE' else 'p')*100
#vollib.black_scholes.greeks.numerical.delta(flag, S, K, t, r, sigma)
option['VOLATILITY']=option.apply(iv_fun,axis=1)
delta_fun=lambda x:delta(('c' if x.OPTION_TYP=='CE' else 'p'),fut,x['STRIKE_PR'],exp,0.1,x.VOLATILITY/100)
gamma_fun=lambda x:gamma(('c' if x.OPTION_TYP=='CE' else 'p'),fut,x['STRIKE_PR'],exp,0.1,x.VOLATILITY/100)
vega_fun=lambda x:vega(('c' if x.OPTION_TYP=='CE' else 'p'),fut,x['STRIKE_PR'],exp,0.1,x.VOLATILITY/100)
theta_fun=lambda x:theta(('c' if x.OPTION_TYP=='CE' else 'p'),fut,x['STRIKE_PR'],exp,0.1,x.VOLATILITY/100)
rho_fun=lambda x:rho(('c' if x.OPTION_TYP=='CE' else 'p'),fut,x['STRIKE_PR'],exp,0.1,x.VOLATILITY/100)
option['DELTA']=option.apply(delta_fun,axis=1)
option['GAMMA']=option.apply(gamma_fun,axis=1)
option['VEGA']=option.apply(vega_fun,axis=1)
option['THETA']=option.apply(theta_fun,axis=1)
option['RHO']=option.apply(rho_fun,axis=1)
#Remove option with delta <0.05 for calls and delta >-0.05 for puts
option=option[(option.DELTA>0.05) | (option.DELTA<-0.05)]
#Remove where no contracts are being traded
option=option[option.CONTRACTS!=0]
option['FUT']=fut
return option