def prtfCalc(self):
calc = {}
calc["FairValue"], calc["Delta"], calc["Gamma"], calc["Vega"], calc[
"Rho"], calc["Theta"] = 0.0, 0.0, 0.0, 0.0, 0.0, 0.0
calc["Vanna"], calc["Volga"], calc["Veta"], calc[
"Charm"] = 0.0, 0.0, 0.0, 0.0
for tr in self.tradeRecord:
if tr:
opt = EuropeanOption(tr["CallOrPut"] == "Call", tr["Strike"],
tr["DayToExpiry"], tr["DvdYield"] / 100.0)
opt.setLevel(self.spot, tr["ImplVol"] / 100.0,
tr["RiskFree"] / 100.0)
calc["FairValue"] += opt.fairValue() * tr["Notional"]
calc["Delta"] += opt.delta() * tr["Notional"]
calc["Gamma"] += opt.gamma() * tr["Notional"]
calc["Vega"] += opt.vega() * tr["Notional"]
calc["Rho"] += opt.rho() * tr["Notional"]
calc["Theta"] += opt.theta(
) * tr["Notional"] / self.DaysPerYear
calc["Vanna"] += opt.vanna() * tr["Notional"]
calc["Volga"] += opt.volga() * tr["Notional"]
calc["Veta"] += opt.veta() * tr["Notional"]
calc["Charm"] += opt.charm() * tr["Notional"]
return calc
def payoffProfile(self, sArr, spotMVAsZero=True, dayFromNow=0):
if spotMVAsZero:
mvNow = 0.0
for tr in self.tradeRecord:
if tr:
opt = EuropeanOption(tr["CallOrPut"] == "Call",
tr["Strike"], tr["DayToExpiry"],
tr["DvdYield"] / 100.0)
opt.setLevel(self.spot, tr["ImplVol"] / 100.0,
tr["RiskFree"] / 100.0)
mvNow += opt.fairValue() * tr["Notional"]
payoff = [0.0] * len(sArr)
for tr in self.tradeRecord:
if tr:
opt = EuropeanOption(tr["CallOrPut"] == "Call", tr["Strike"],
max(0.0, tr["DayToExpiry"] - dayFromNow),
tr["DvdYield"] / 100.0)
for i, s in enumerate(sArr):
opt.setLevel(s, tr["ImplVol"] / 100.0,
tr["RiskFree"] / 100.0)
payoff[i] += opt.fairValue() * tr["Notional"]
for i in range(len(sArr)):
payoff[i] -= mvNow
return payoff
def perTradeCalc(self):
tradeCalc = [{} for i in range(self.NTradeInput)]
for i, tr in enumerate(self.tradeRecord):
if tr:
opt = EuropeanOption(tr["CallOrPut"] == "Call", tr["Strike"],
tr["DayToExpiry"], tr["DvdYield"] / 100.0)
opt.setLevel(self.spot, tr["ImplVol"] / 100.0,
tr["RiskFree"] / 100.0)
tradeCalc[i]["FairValue"] = opt.fairValue()
tradeCalc[i]["Delta"] = opt.delta()
tradeCalc[i]["Gamma"] = opt.gamma()
tradeCalc[i]["Vega"] = opt.vega()
tradeCalc[i]["Rho"] = opt.rho()
tradeCalc[i]["Theta"] = opt.theta() / self.DaysPerYear
return tradeCalc
def perScenCalc(self, scen):
calc = {}
calc["FairValue"], calc["Delta"], calc["Gamma"], calc["Vega"], calc[
"Rho"], calc["Theta"] = 0.0, 0.0, 0.0, 0.0, 0.0, 0.0
for tr in self.tradeRecord:
if tr:
vol = scen[f"k={tr['Strike']:.2f}"] / 100.0
opt = EuropeanOption(
tr["CallOrPut"] == "Call", tr["Strike"],
tr["DayToExpiry"] - abs(scen["DayToExpiry"]),
tr["DvdYield"] / 100.0)
opt.setLevel(self.spot + scen["Spot"], vol,
(tr["RiskFree"] + scen["RiskFree"]) / 100.0)
calc["FairValue"] += opt.fairValue() * tr["Notional"]
calc["Delta"] += opt.delta() * tr["Notional"]
calc["Gamma"] += opt.gamma() * tr["Notional"]
calc["Vega"] += opt.vega() * tr["Notional"]
calc["Rho"] += opt.rho() * tr["Notional"]
calc["Theta"] += opt.theta(
) * tr["Notional"] / self.DaysPerYear
return calc
def greekProfile(self, sArr, greekName):
greekArr = [0.0] * len(sArr)
for tr in self.tradeRecord:
if tr:
opt = EuropeanOption(tr["CallOrPut"] == "Call", tr["Strike"],
tr["DayToExpiry"], tr["DvdYield"] / 100.0)
for i, s in enumerate(sArr):
opt.setLevel(s, tr["ImplVol"] / 100.0,
tr["RiskFree"] / 100.0)
if greekName.lower() == "delta":
greekArr[i] += opt.delta() * tr["Notional"]
elif greekName.lower() == "gamma":
greekArr[i] += opt.gamma() * tr["Notional"]
elif greekName.lower() == "vega":
greekArr[i] += opt.vega() * tr["Notional"]
elif greekName.lower() == "rho":
greekArr[i] += opt.rho() * tr["Notional"]
elif greekName.lower() == "theta":
greekArr[i] += opt.theta(
) * tr["Notional"] / self.DaysPerYear
return greekArr
def test_f_vanna(self):
#vanna = d2V/ dS dv = dDelta/dv
dvol = 0.001
opt1 = EuropeanOption(False, 204.0, 91.0, 0.02) #isCall, strike, dayToExpiry, dvdYield
opt1.setLevel(200.0, 0.300, 0.03) #spot, ivol, riskFree
d1 = opt1.delta()
opt2 = EuropeanOption(False, 204.0, 91.0, 0.02) #isCall, strike, dayToExpiry, dvdYield
opt2.setLevel(200.0, 0.300+dvol, 0.03) #spot, ivol, riskFree
d2 = opt2.delta()
approx = (d2-d1)/dvol
optMid = EuropeanOption(False, 204.0, 91.0, 0.02) #isCall, strike, dayToExpiry, dvdYield
optMid.setLevel(200.0, 0.300+dvol*0.5, 0.03) #spot, ivol, riskFree
print(approx)
print(optMid.vanna())
assert self._isFloatNear( approx/ optMid.vanna(), 1.0, 1e-3)
def test_f_charm(self):
#Delta Decay/ Charm: - d2X/dt dS = -dDelta/dt = -dTheta/dS
dt = 0.1
opt1 = EuropeanOption(False, 204.0, 91.0, 0.02) #isCall, strike, dayToExpiry, dvdYield
opt1.setLevel(200.0, 0.300, 0.03) #spot, ivol, riskFree
#note for the option class, theta convention = -dV/dt
d1 = opt1.delta()
opt2 = EuropeanOption(False, 204.0, 91.0+dt, 0.02) #isCall, strike, dayToExpiry, dvdYield
opt2.setLevel(200.0, 0.300, 0.03) #spot, ivol, riskFree
d2 = opt2.delta()
approx = -(d2-d1)/(dt/365.0)
optMid = EuropeanOption(False, 204.0, 91.0+dt*0.5, 0.02) #isCall, strike, dayToExpiry, dvdYield
optMid.setLevel(200.0, 0.300, 0.03) #spot, ivol, riskFree
assert self._isFloatNear( approx/ optMid.charm(), 1.0, 1e-3)
def test_f_veta(self):
#veta = d2V/ dt dv = dTheta/dv
dvol = 0.001
opt1 = EuropeanOption(False, 204.0, 91.0, 0.02) #isCall, strike, dayToExpiry, dvdYield
opt1.setLevel(200.0, 0.300, 0.03) #spot, ivol, riskFree
#note for the option class, theta convention = -dV/dt
t1 = -opt1.theta()
opt2 = EuropeanOption(False, 204.0, 91.0, 0.02) #isCall, strike, dayToExpiry, dvdYield
opt2.setLevel(200.0, 0.300+dvol, 0.03) #spot, ivol, riskFree
t2 = -opt2.theta()
approx = (t2-t1)/dvol
optMid = EuropeanOption(False, 204.0, 91.0, 0.02) #isCall, strike, dayToExpiry, dvdYield
optMid.setLevel(200.0, 0.300+dvol*0.5, 0.03) #spot, ivol, riskFree
assert self._isFloatNear( approx/ optMid.veta(), 1.0, 1e-3)
def test_e_volga(self):
#Delta Decay/ Charm: - d2X/dt dv = -dDelta/dt = -dTheta/dS
dvol = 0.001
opt1 = EuropeanOption(True, 204.0, 91.0, 0.02) #isCall, strike, dayToExpiry, dvdYield
opt1.setLevel(200.0, 0.300, 0.03) #spot, ivol, riskFree
#note for the option class, theta convention = -dV/dt
v1 = opt1.vega()
opt2 = EuropeanOption(True, 204.0, 91.0, 0.02) #isCall, strike, dayToExpiry, dvdYield
opt2.setLevel(200.0, 0.300+dvol, 0.03) #spot, ivol, riskFree
v2 = opt2.vega()
approx = (v2-v1)/dvol
optMid = EuropeanOption(True, 204.0, 91.0, 0.02) #isCall, strike, dayToExpiry, dvdYield
optMid.setLevel(200.0, 0.300+dvol*0.5, 0.03) #spot, ivol, riskFree
assert self._isFloatNear( approx/ optMid.volga(), 1.0, 1e-3)
def _init_option_a(self):
opt = EuropeanOption(True, 204.0, 91.0, 0.02) #isCall, strike, dayToExpiry, dvdYield
opt.setLevel(200.0, 0.3, 0.03) #spot, ivol, riskFree
return opt
def test_expired_put_2(self):
opt = EuropeanOption(False, 51.0, 0.0, 0.02) #isCall, strike, dayToExpiry, dvdYield
opt.setLevel(50.0, 0.3, 0.03) #spot, ivol, riskFree
assert self._isFloatNear(opt.fairValue(), 1.0, 1e-16)
def _init_option_d(self):
opt = EuropeanOption(False, 49.0, 30.0, 0.02) #isCall, strike, dayToExpiry, dvdYield
opt.setLevel(50.0, 0.3, 0.03) #spot, ivol, riskFree
return opt