def GreeksFunc(self, option, process):
engine = ql.AnalyticBarrierEngine(process)
option.setPricingEngine(engine)
try:
if self.product.exercise_type == 'E':
engine = ql.AnalyticBarrierEngine(process)
option.setPricingEngine(engine)
Greeks = pd.DataFrame([option.delta(),option.gamma(),option.vega()/100,option.theta()/365,option.rho()/100], columns = [''], \
index=['Delta','Gamma','Vega(%)','ThetaPerDay','Rho(%)'])
elif self.product.exercise_type == 'A':
#用BaroneAdesiWhaley离散法计算Greeks
engine = ql.BaroneAdesiWhaleyEngine(process)
#engine = ql.BinomialVanillaEngine(process, "crr", 100) #BTM
option.setPricingEngine(engine)
Greeks = self.Numerical_Greeks(option)
else:
raise ValueError #传入的参数self.product.exercise_type 无效
#缺少解析解时用离散法蒙特卡洛模拟，计算Greeks
except:
engine = ql.MCDiscreteArithmeticAPEngine(
process, self.product.mc_str, self.product.is_bb,
self.product.is_av, self.product.is_cv, self.product.n_require,
self.product.tolerance, self.product.n_max, self.product.seed)
option.setPricingEngine(engine)
Greeks = self.Numerical_Greeks(option)
return Greeks
def calculate_barrier_price(evaluation, barrier_option, hist_spots, process,
engineType):
barrier = barrier_option.barrier
barrierType = barrier_option.barrierType
barrier_ql = barrier_option.option_ql
exercise = barrier_option.exercise
payoff = barrier_option.payoff
# barrier_engine = ql.BinomialBarrierEngine(process, 'crr', 400)
# european_engine = ql.BinomialVanillaEngine(process, 'crr', 400)
european_engine = ql.AnalyticEuropeanEngine(process)
barrier_engine = ql.AnalyticBarrierEngine(process)
barrier_ql.setPricingEngine(barrier_engine)
option_ql = ql.EuropeanOption(payoff, exercise)
option_ql.setPricingEngine(european_engine)
# check if hist_spots hit the barrier
if len(hist_spots) == 0:
option_price = barrier_ql.NPV()
# option_delta = barrier_ql.delta()
else:
if barrierType == ql.Barrier.DownOut:
if min(hist_spots) <= barrier:
barrier_engine = None
european_engine = None
return 0.0, 0.0
else:
option_price = barrier_ql.NPV()
# option_delta = barrier_ql.delta()
elif barrierType == ql.Barrier.UpOut:
if max(hist_spots) >= barrier:
barrier_engine = None
european_engine = None
return 0.0, 0.0
else:
option_price = barrier_ql.NPV()
# option_delta = barrier_ql.delta()
elif barrierType == ql.Barrier.DownIn:
if min(hist_spots) > barrier:
option_price = barrier_ql.NPV()
# option_delta = barrier_ql.delta()
else:
option_price = option_ql.NPV()
# option_delta = option_ql.delta()
else:
if max(hist_spots) < barrier:
option_price = barrier_ql.NPV()
# option_delta = barrier_ql.delta()
else:
option_price = option_ql.NPV()
# option_delta = option_ql.delta()
barrier_engine = None
european_engine = None
barrier_ql = None
option_ql = None
if math.isnan(option_price):
return 0.0
else:
return option_price
def PricingFunc(self, option, process):
'''设置定价引擎'''
# 欧式、美式均为QuantLib.AnalyticBarrierEngine
if self.product.exercise_type == 'E':
engine = ql.AnalyticBarrierEngine(process)
elif self.product.exercise_type == 'A':
engine = ql.BaroneAdesiWhaleyEngine(process)
else:
pass
option.setPricingEngine(engine)
return option.NPV()
def get_engine(bsmprocess, engineType):
if engineType == 'AnalyticEuropeanEngine':
engine = ql.AnalyticEuropeanEngine(bsmprocess)
elif engineType == 'BinomialVanillaEngine':
engine = ql.BinomialVanillaEngine(bsmprocess, 'crr', 801)
elif engineType == 'AnalyticBarrierEngine':
engine = ql.AnalyticBarrierEngine(bsmprocess)
elif engineType == 'BinomialBarrierEngine':
engine = ql.BinomialBarrierEngine(bsmprocess, 'crr', 801)
else:
engine = None
return engine
def calculate_effective_delta(evaluation,
daycounter,
calendar,
barrier_option,
spot,
vol,
dS=0.001):
barrier_ql = barrier_option.option_ql
process1 = evaluation.get_bsmprocess_cnstvol(daycounter, calendar,
ql.SimpleQuote(spot + dS),
vol)
process2 = evaluation.get_bsmprocess_cnstvol(daycounter, calendar,
ql.SimpleQuote(spot - dS),
vol)
barrier_engine1 = ql.AnalyticBarrierEngine(process1)
barrier_engine2 = ql.AnalyticBarrierEngine(process2)
barrier_ql.setPricingEngine(barrier_engine1)
option_price1 = barrier_ql.NPV()
barrier_ql.setPricingEngine(barrier_engine2)
option_price2 = barrier_ql.NPV()
delta_eff = (option_price1 - option_price2) / (2 * dS)
return delta_eff
def BarrierOptionCalc(options):
print(options)
spot = ql.SimpleQuote(options["spot"])
strike = options["strike"]
barrier = options["barrier"]
barrierType = options["barrierType"]
volatility = ql.SimpleQuote(options["volatility"])
maturity = options["maturity"]
rf = ql.SimpleQuote(options["rf"])
optionType = options["optionType"]
pricingEngine = options["pricingEngine"]
optionExercise = options["optionExercise"]
if not hasattr(ql.Barrier, barrierType):
raise Exception("barrier type not understood")
barrierType = getattr(ql.Barrier, barrierType)
if not hasattr(ql.Option, optionType):
raise Exception("option type not understood")
optionType = getattr(ql.Option, optionType)
today = ql.Settings.instance().evaluationDate
maturity_date = today + int(maturity)
divYield = 0.
rebate = 0.
# process = ql.BlackScholesMertonProcess(
# ql.QuoteHandle(spot),
# ql.YieldTermStructureHandle(ql.FlatForward(today, divYield, day_count)),
# ql.YieldTermStructureHandle(ql.FlatForward(today, ql.QuoteHandle(rf), day_count)),
# ql.BlackVolTermStructureHandle(ql.BlackConstantVol(today, calendar, ql.QuoteHandle(volatility), day_count)))
process = ql.BlackScholesProcess(
ql.QuoteHandle(spot),
ql.YieldTermStructureHandle(
ql.FlatForward(today, ql.QuoteHandle(rf), day_count)),
ql.BlackVolTermStructureHandle(
ql.BlackConstantVol(today, calendar, ql.QuoteHandle(volatility),
day_count)))
if (optionExercise == "European"):
optionExercise = ql.EuropeanExercise(maturity_date)
elif (optionExercise == "American"):
optionExercise = ql.AmericanExercise(today + 1, maturity_date)
else:
raise Exception("optionExercise not understood")
timeSteps = 1000
gridPoints = 1000
if (pricingEngine == "Analytical"):
pricingEngine = ql.AnalyticBarrierEngine(process)
elif (pricingEngine == "AnalyticalBinary"):
pricingEngine = ql.AnalyticBinaryBarrierEngine(process)
elif (pricingEngine == "FD"):
pricingEngine = ql.FdBlackScholesBarrierEngine(process, timeSteps,
gridPoints)
elif (pricingEngine == "MC"):
pricingEngine = ql.MCBarrierEngine(process,
'pseudorandom',
timeSteps=1,
requiredTolerance=0.02,
seed=42)
elif (pricingEngine == "Binomial"):
pricingEngine = ql.BinomialBarrierEngine(process, 'jr', timeSteps)
else:
raise Exception("pricingEngine not understood")
option = ql.BarrierOption(barrierType, barrier, rebate,
ql.PlainVanillaPayoff(optionType, strike),
optionExercise)
option.setPricingEngine(pricingEngine)
results = {}
for t in ["NPV", "delta", "vega", "theta", "rho", "gamma"]:
try:
results[t] = getattr(option, t)()
except RuntimeError as e:
print(t, e)
results[t] = float('nan')
if math.isnan(results["NPV"]):
return results
computegreeks(results, option, spot, volatility, rf, today)
return results
def calculate_barrier_price_vol(evaluation, daycounter, calendar,
barrier_option, hist_spots, spot, vol,
engineType):
evalDate = evaluation.evalDate
ql.Settings.instance().evaluationDate = evalDate
maturitydt = barrier_option.maturitydt
optiontype = barrier_option.optionType
strike = barrier_option.strike
underlying = ql.SimpleQuote(spot)
barrier = barrier_option.barrier
barrierType = barrier_option.barrierType
barrier_ql = barrier_option.option_ql
exercise = barrier_option.exercise
payoff = barrier_option.payoff
process = evaluation.get_bsmprocess_cnstvol(daycounter, calendar,
underlying, vol)
# barrier_engine = ql.BinomialBarrierEngine(process, 'crr', 400)
# european_engine = ql.BinomialVanillaEngine(process, 'crr', 400)
european_engine = ql.AnalyticEuropeanEngine(process)
barrier_engine = ql.AnalyticBarrierEngine(process)
barrier_ql.setPricingEngine(barrier_engine)
option_ql = ql.EuropeanOption(payoff, exercise)
option_ql.setPricingEngine(european_engine)
# check if hist_spots hit the barrier
if len(hist_spots) == 0:
option_price = barrier_ql.NPV()
# option_delta = barrier_ql.delta()
option_delta = calculate_effective_delta(evaluation, daycounter,
calendar, barrier_option,
spot, vol)
else:
if barrierType == ql.Barrier.DownOut:
if min(hist_spots) <= barrier or spot <= barrier:
barrier_engine = None
european_engine = None
return 0.0, 0.0
else:
if evalDate < maturitydt:
option_price = barrier_ql.NPV()
# option_delta = barrier_ql.delta()
option_delta = calculate_effective_delta(
evaluation, daycounter, calendar, barrier_option, spot,
vol)
else:
if optiontype == ql.Option.Call:
option_price = max(0.0, spot - strike)
else:
option_price = max(0.0, strike - spot)
option_delta = 0.0
elif barrierType == ql.Barrier.UpOut:
if max(hist_spots) >= barrier or spot >= barrier:
barrier_engine = None
european_engine = None
return 0.0, 0.0
else:
if evalDate < maturitydt:
option_price = barrier_ql.NPV()
# option_delta = barrier_ql.delta()
option_delta = calculate_effective_delta(
evaluation, daycounter, calendar, barrier_option, spot,
vol)
else:
if optiontype == ql.Option.Call:
option_price = max(0.0, spot - strike)
else:
option_price = max(0.0, strike - spot)
option_delta = 0.0
elif barrierType == ql.Barrier.DownIn:
if min(hist_spots) <= barrier or spot <= barrier:
# print('touched barrier')
if evalDate < maturitydt:
option_delta = option_ql.delta()
option_price = option_ql.NPV()
else:
if optiontype == ql.Option.Call:
option_price = max(0.0, spot - strike)
else:
option_price = max(0.0, strike - spot)
option_delta = 0.0
else:
option_price = barrier_ql.NPV()
# option_delta = barrier_ql.delta()
option_delta = calculate_effective_delta(
evaluation, daycounter, calendar, barrier_option, spot,
vol)
# if min(hist_spots) > barrier and spot > barrier:
# option_price = barrier_ql.NPV()
# # option_delta = barrier_ql.delta()
# option_delta = calculate_effective_delta(
# evaluation, daycounter, calendar, barrier_option, spot, vol)
# else:
# option_price = option_ql.NPV()
# option_delta = option_ql.delta()
else:
if max(hist_spots) >= barrier or spot >= barrier:
if evalDate < maturitydt:
option_delta = option_ql.delta()
option_price = option_ql.NPV()
else:
if optiontype == ql.Option.Call:
option_price = max(0.0, spot - strike)
else:
option_price = max(0.0, strike - spot)
option_delta = 0.0
else:
option_price = barrier_ql.NPV()
# option_delta = barrier_ql.delta()
option_delta = calculate_effective_delta(
evaluation, daycounter, calendar, barrier_option, spot,
vol)
# if max(hist_spots) < barrier and spot < barrier:
# option_price = barrier_ql.NPV()
# # option_delta = barrier_ql.delta()
# option_delta = calculate_effective_delta(
# evaluation, daycounter, calendar, barrier_option, spot, vol)
# else:
# option_price = option_ql.NPV()
# option_delta = option_ql.delta()
barrier_engine = None
european_engine = None
barrier_ql = None
option_ql = None
if math.isnan(option_price):
return 0.0, 0.0
else:
return option_price, option_delta
# bootstrap the yield/vol curves
dayCounter = ql.Actual365Fixed()
h1 = ql.QuoteHandle(riskFreeRate)
h2 = ql.QuoteHandle(volatility)
flatRate = ql.YieldTermStructureHandle(
ql.FlatForward(0, ql.NullCalendar(), h1, dayCounter))
flatVol = ql.BlackVolTermStructureHandle(
ql.BlackConstantVol(0, ql.NullCalendar(), h2, dayCounter))
# instantiate the option
exercise = ql.EuropeanExercise(maturity)
payoff = ql.PlainVanillaPayoff(type, strike)
bsProcess = ql.BlackScholesProcess(ql.QuoteHandle(underlying), flatRate,
flatVol)
barrierEngine = ql.AnalyticBarrierEngine(bsProcess)
europeanEngine = ql.AnalyticEuropeanEngine(bsProcess)
referenceOption = ql.BarrierOption(barrierType, barrier, rebate, payoff,
exercise)
referenceOption.setPricingEngine(barrierEngine)
referenceValue = referenceOption.NPV()
tab1.add_row(["Original barrier option", referenceValue, 'N/A'])
# Replicating portfolios
portfolio1 = ql.CompositeInstrument()
portfolio2 = ql.CompositeInstrument()
portfolio3 = ql.CompositeInstrument()
maturity = 0.25
divYield = 0.0
V=[]
delta=[]
for s in S:
underlying=s
# Grids = (5 , 10 , 25 , 50 , 100 , 1000 , 5000)
# maxG = Grids [ -1]
#
today = ql.Settings.instance().evaluationDate
maturity_date = today + int ( maturity * 12)
process = ql.BlackScholesMertonProcess(ql.QuoteHandle(ql.SimpleQuote(underlying)) ,
ql.YieldTermStructureHandle(ql.FlatForward(today , divYield , ql.Thirty360())) ,
ql.YieldTermStructureHandle(ql.FlatForward(today , rf , ql.Thirty360())) ,
ql.BlackVolTermStructureHandle(ql.BlackConstantVol(today,ql.NullCalendar() , sigma , ql.Thirty360 ())))
option = ql.BarrierOption( barrierType , barrier , rebate , ql.PlainVanillaPayoff( optionType , strike), ql.EuropeanExercise(maturity_date))
option.setPricingEngine(ql.AnalyticBarrierEngine(process))
trueValue = option.NPV()
#trueDelta=option.delta()w
V.append(trueValue)
#delta.append(trueDelta)
plt.plot(V)
#plt.plot(delta)
barrierType)
# staticHedge = StaticHedgePortfolio(barrier_option)
# staticHedge.set_static_portfolio(evaluation,spot,black_var_surface)
strike_barrier = ((barrier)**2) / strike
strike_barrierforward = ((barrier * np.exp(rf * ttm))**2) / strike
strike_strikeforward = ((daily_close)**2) / strike
print(maturitydt)
print('init spot', daily_close)
print('underlying : ', daily_close)
print('barrier : ', barrier)
print('strike : ', strike)
# print('barrier forward : ', barrier * np.exp(rf * ttm))
european_engine = ql.AnalyticEuropeanEngine(process)
barrier_engine = ql.AnalyticBarrierEngine(process)
barrieroption.setPricingEngine(barrier_engine)
barrier_price = barrieroption.NPV()
init_barrier = barrier_price * facevalue
# Construct Replicaiton Portfolio
portfolio = ql.CompositeInstrument()
# Long a call struck at strike
call = ql.EuropeanOption(payoff, exercise)
call.setPricingEngine(european_engine)
call_value = call.NPV()
print('call value : ', call_value)
portfolio.add(call)
# short put_ratio shares of puts struck at k_put
k_put = strike_barrierforward