def test_FinBinomialTree():
stock_price = 50.0
riskFreeRate = 0.06
dividendYield = 0.04
volatility = 0.40
valuation_date = Date(1, 1, 2016)
expiry_date = Date(1, 1, 2017)
model = FinModelBlackScholes(volatility)
discount_curve = DiscountCurveFlat(valuation_date, riskFreeRate)
dividendCurve = DiscountCurveFlat(valuation_date, dividendYield)
num_stepsList = [100, 500, 1000, 2000, 5000]
strikePrice = 50.0
testCases.banner("================== EUROPEAN PUT =======================")
putOption = FinEquityVanillaOption(expiry_date, strikePrice,
FinOptionTypes.EUROPEAN_PUT)
value = putOption.value(valuation_date, stock_price, discount_curve,
dividendCurve, model)
delta = putOption.delta(valuation_date, stock_price, discount_curve,
dividendCurve, model)
gamma = putOption.gamma(valuation_date, stock_price, discount_curve,
dividendCurve, model)
theta = putOption.theta(valuation_date, stock_price, discount_curve,
dividendCurve, model)
testCases.header("BS Value", "BS Delta", "BS Gamma", "BS Theta")
testCases.print(value, delta, gamma, theta)
payoff = FinEquityTreePayoffTypes.VANILLA_OPTION
exercise = FinEquityTreeExerciseTypes.EUROPEAN
params = np.array([-1, strikePrice])
testCases.header("NumSteps", "Results", "TIME")
for num_steps in num_stepsList:
start = time.time()
tree = FinEquityBinomialTree()
results = tree.value(stock_price, discount_curve, dividendCurve,
volatility, num_steps, valuation_date, payoff,
expiry_date, payoff, exercise, params)
end = time.time()
duration = end - start
testCases.print(num_steps, results, duration)
testCases.banner("================== AMERICAN PUT =======================")
payoff = FinEquityTreePayoffTypes.VANILLA_OPTION
exercise = FinEquityTreeExerciseTypes.AMERICAN
params = np.array([-1, strikePrice])
testCases.header("NumSteps", "Results", "TIME")
for num_steps in num_stepsList:
start = time.time()
tree = FinEquityBinomialTree()
results = tree.value(stock_price, discount_curve, dividendCurve,
volatility, num_steps, valuation_date, payoff,
expiry_date, payoff, exercise, params)
end = time.time()
duration = end - start
testCases.print(num_steps, results, duration)
testCases.banner(
"================== EUROPEAN CALL =======================")
callOption = FinEquityVanillaOption(expiry_date, strikePrice,
FinOptionTypes.EUROPEAN_CALL)
value = callOption.value(valuation_date, stock_price, discount_curve,
dividendCurve, model)
delta = callOption.delta(valuation_date, stock_price, discount_curve,
dividendCurve, model)
gamma = callOption.gamma(valuation_date, stock_price, discount_curve,
dividendCurve, model)
theta = callOption.theta(valuation_date, stock_price, discount_curve,
dividendCurve, model)
testCases.header("BS Value", "BS Delta", "BS Gamma", "BS Theta")
testCases.print(value, delta, gamma, theta)
payoff = FinEquityTreePayoffTypes.VANILLA_OPTION
exercise = FinEquityTreeExerciseTypes.EUROPEAN
params = np.array([1.0, strikePrice])
testCases.header("NumSteps", "Results", "TIME")
for num_steps in num_stepsList:
start = time.time()
tree = FinEquityBinomialTree()
results = tree.value(stock_price, discount_curve, dividendCurve,
volatility, num_steps, valuation_date, payoff,
expiry_date, payoff, exercise, params)
end = time.time()
duration = end - start
testCases.print(num_steps, results, duration)
testCases.banner(
"================== AMERICAN CALL =======================")
payoff = FinEquityTreePayoffTypes.VANILLA_OPTION
exercise = FinEquityTreeExerciseTypes.AMERICAN
params = np.array([1.0, strikePrice])
testCases.header("NumSteps", "Results", "TIME")
for num_steps in num_stepsList:
start = time.time()
tree = FinEquityBinomialTree()
results = tree.value(stock_price, discount_curve, dividendCurve,
volatility, num_steps, valuation_date, payoff,
expiry_date, payoff, exercise, params)
end = time.time()
duration = end - start
testCases.print(num_steps, results, duration)
def testFinEquityAmericanOption():
valueDate = FinDate(2016, 1, 1)
expiryDate = FinDate(2017, 1, 1)
stockPrice = 50.0
interestRate = 0.06
dividendYield = 0.04
volatility = 0.40
strikePrice = 50.0
model = FinEquityModelBlackScholes(volatility)
discountCurve = FinFlatCurve(valueDate, interestRate)
numStepsList = [1000, 2000]
testCases.banner("================== EUROPEAN PUT =======================")
putOption = FinEquityVanillaOption(
expiryDate,
strikePrice,
FinEquityOptionTypes.EUROPEAN_PUT)
value = putOption.value(
valueDate,
stockPrice,
discountCurve,
dividendYield,
model)
delta = putOption.delta(
valueDate,
stockPrice,
discountCurve,
dividendYield,
model)
gamma = putOption.gamma(
valueDate,
stockPrice,
discountCurve,
dividendYield,
model)
theta = putOption.theta(
valueDate,
stockPrice,
discountCurve,
dividendYield,
model)
testCases.header("OPTION_TYPE", "VALUE", "DELTA", "GAMMA", "THETA")
testCases.print("EUROPEAN_PUT_BS", value, delta, gamma, theta)
option = FinEquityAmericanOption(
expiryDate,
strikePrice,
FinEquityOptionTypes.EUROPEAN_PUT)
testCases.header(
"OPTION_TYPE",
"NUMSTEPS",
"VALUE DELTA GAMMA THETA",
"TIME")
for numSteps in numStepsList:
start = time.time()
results = option.value(
valueDate,
stockPrice,
discountCurve,
dividendYield,
model,
numSteps)
end = time.time()
duration = end - start
testCases.print("EUROPEAN_PUT_TREE", numSteps, results, duration)
testCases.banner("================== AMERICAN PUT =======================")
option = FinEquityAmericanOption(
expiryDate,
strikePrice,
FinEquityOptionTypes.AMERICAN_PUT)
testCases.header(
"OPTION_TYPE",
"NUMSTEPS",
"VALUE DELTA GAMMA THETA",
"TIME")
for numSteps in numStepsList:
start = time.time()
results = option.value(
valueDate,
stockPrice,
discountCurve,
dividendYield,
model,
numSteps)
end = time.time()
duration = end - start
testCases.print("AMERICAN_PUT", numSteps, results, duration)
testCases.banner(
"================== EUROPEAN CALL =======================")
callOption = FinEquityVanillaOption(
expiryDate,
strikePrice,
FinEquityOptionTypes.EUROPEAN_CALL)
value = callOption.value(
valueDate,
stockPrice,
discountCurve,
dividendYield,
model)
delta = callOption.delta(
valueDate,
stockPrice,
discountCurve,
dividendYield,
model)
gamma = callOption.gamma(
valueDate,
stockPrice,
discountCurve,
dividendYield,
model)
theta = callOption.theta(
valueDate,
stockPrice,
discountCurve,
dividendYield,
model)
testCases.header("OPTION_TYPE", "VALUE", "DELTA", "GAMMA", "THETA")
testCases.print("EUROPEAN_CALL_BS", value, delta, gamma, theta)
option = FinEquityAmericanOption(
expiryDate,
strikePrice,
FinEquityOptionTypes.EUROPEAN_CALL)
testCases.header(
"OPTION_TYPE",
"NUMSTEPS",
"VALUE DELTA GAMMA THETA",
"TIME")
for numSteps in numStepsList:
start = time.time()
results = option.value(
valueDate,
stockPrice,
discountCurve,
dividendYield,
model,
numSteps)
end = time.time()
duration = end - start
testCases.print("EUROPEAN_CALL", numSteps, results, duration)
testCases.banner(
"================== AMERICAN CALL =======================")
testCases.header(
"OPTION_TYPE",
"NUMSTEPS",
"VALUE DELTA GAMMA THETA",
"TIME")
option = FinEquityAmericanOption(
expiryDate,
strikePrice,
FinEquityOptionTypes.AMERICAN_CALL)
for numSteps in numStepsList:
start = time.time()
results = option.value(
valueDate,
stockPrice,
discountCurve,
dividendYield,
model,
numSteps)
end = time.time()
duration = end - start
testCases.print("AMERICAN_CALL", numSteps, results, duration)
