def test_FinFXVanillaOptionBloombergExample():
# Example Bloomberg Pricing at
# https://stackoverflow.com/questions/48778712/fx-vanilla-call-price-in-quantlib-doesnt-match-bloomberg
valueDate = FinDate(13, 2, 2018)
expiryDate = FinDate(15, 2, 2019)
# In BS the FX rate is the price in domestic of one unit of foreign
# In case of EURUSD = 1.3 the domestic currency is USD and foreign is EUR
# DOM = USD , FOR = EUR
forName = "EUR"
domName = "USD"
forDepoRate = 0.05 # EUR
domDepoRate = 0.02 # USD
currencyPair = forName + domName # Always FORDOM
spotFXRate = 1.30
strikeFXRate = 1.3650
volatility = 0.20
spotDays = 0
settlementDate = valueDate.addWorkDays(spotDays)
maturityDate = settlementDate.addMonths(12)
notional = 1000000.0
notionalCurrency = "EUR"
calendarType = FinCalendarTypes.TARGET
depos = []
fras = []
swaps = []
depo = FinLiborDeposit(settlementDate, maturityDate, domDepoRate,
FinDayCountTypes.ACT_360, notional, calendarType)
depos.append(depo)
domDiscountCurve = FinLiborCurve(forName, settlementDate, depos, fras,
swaps)
depos = []
fras = []
swaps = []
depo = FinLiborDeposit(settlementDate, maturityDate, forDepoRate,
FinDayCountTypes.ACT_360, notional, calendarType)
depos.append(depo)
forDiscountCurve = FinLiborCurve(domName, settlementDate, depos, fras,
swaps)
model = FinFXModelBlackScholes(volatility)
callOption = FinFXVanillaOption(expiryDate, strikeFXRate, currencyPair,
FinOptionTypes.EUROPEAN_CALL, notional,
notionalCurrency, 2)
value = callOption.value(valueDate, spotFXRate, domDiscountCurve,
forDiscountCurve, model)
delta = callOption.delta(valueDate, spotFXRate, domDiscountCurve,
forDiscountCurve, model)
testCases.header("value", "delta")
testCases.print(value, delta)
def test_FinFXVanillaOptionWystupExample1():
# Example from Book extract by Uwe Wystup with results in Table 1.2
# https://mathfinance.com/wp-content/uploads/2017/06/FXOptionsStructuredProducts2e-Extract.pdf
# Not exactly T=1.0 but close so don't exact exact agreement
# (in fact I do not get exact agreement even if I do set T=1.0)
valueDate = FinDate(13, 2, 2018)
expiryDate = FinDate(13, 2, 2019)
# In BS the FX rate is the price in domestic of one unit of foreign
# In case of EURUSD = 1.3 the domestic currency is USD and foreign is EUR
# DOM = USD , FOR = EUR
ccy1 = "EUR"
ccy2 = "USD"
ccy1CCRate = 0.030 # EUR
ccy2CCRate = 0.025 # USD
currencyPair = ccy1 + ccy2 # Always ccy1ccy2
spotFXRate = 1.20
strikeFXRate = 1.250
volatility = 0.10
spotDays = 0
settlementDate = valueDate.addWorkDays(spotDays)
maturityDate = settlementDate.addMonths(12)
notional = 1000000.0
notionalCurrency = "EUR"
calendarType = FinCalendarTypes.TARGET
domDiscountCurve = FinFlatCurve(valueDate, ccy2CCRate)
forDiscountCurve = FinFlatCurve(valueDate, ccy1CCRate)
model = FinFXModelBlackScholes(volatility)
# Two examples to show that changing the notional currency and notional
# keeps the value unchanged
notional = 1000000.0
callOption = FinFXVanillaOption(expiryDate, strikeFXRate, currencyPair,
FinOptionTypes.EUROPEAN_CALL, notional,
"EUR", 2)
value = callOption.value(1.0, spotFXRate, domDiscountCurve,
forDiscountCurve, model)
notional = 1250000.0
callOption = FinFXVanillaOption(expiryDate, strikeFXRate, currencyPair,
FinOptionTypes.EUROPEAN_CALL, notional,
"USD", 2)
value = callOption.value(valueDate, spotFXRate, domDiscountCurve,
forDiscountCurve, model)
delta = callOption.delta(valueDate, spotFXRate, domDiscountCurve,
forDiscountCurve, model)
testCases.header("value", "delta")
testCases.print(value, delta)
def test_FinFXVanillaOptionWystupExample2():
# Example Bloomberg Pricing at
# https://stackoverflow.com/questions/48778712/fx-vanilla-call-price-in-quantlib-doesnt-match-bloomberg
valueDate = FinDate(13, 2, 2018)
expiryDate = FinDate(13, 2, 2019)
# In BS the FX rate is the price in domestic of one unit of foreign
# In case of EURUSD = 1.3 the domestic currency is USD and foreign is EUR
# DOM = USD , FOR = EUR
ccy1 = "EUR"
ccy2 = "USD"
ccy1CCRate = 0.0396 # EUR
ccy2CCRate = 0.0357 # USD
currencyPair = ccy1 + ccy2 # Always ccy1ccy2
spotFXRate = 0.9090
strikeFXRate = 0.9090
volatility = 0.12
notional = 1000000.0
domDiscountCurve = FinDiscountCurveFlat(valueDate, ccy2CCRate)
forDiscountCurve = FinDiscountCurveFlat(valueDate, ccy1CCRate)
model = FinFXModelBlackScholes(volatility)
# Two examples to show that changing the notional currency and notional
# keeps the value unchanged
notional = 1000000.0
callOption = FinFXVanillaOption(expiryDate,
strikeFXRate,
currencyPair,
FinOptionTypes.EUROPEAN_PUT,
notional,
"EUR", 2)
value = callOption.value(
valueDate,
spotFXRate,
domDiscountCurve,
forDiscountCurve,
model)
delta = callOption.delta(
valueDate,
spotFXRate,
domDiscountCurve,
forDiscountCurve,
model)
testCases.header("value", "delta")
testCases.print(value, delta)
def test_FinFXBarrierOption():
valueDate = FinDate(2015, 1, 1)
expiryDate = FinDate(2016, 1, 1)
spotFXRate = 100.0
currencyPair = "USDJPY"
volatility = 0.20
domInterestRate = 0.05
forInterestRate = 0.02
optionType = FinFXBarrierTypes.DOWN_AND_OUT_CALL
notional = 100.0
notionalCurrency = "USD"
drift = domInterestRate - forInterestRate
scheme = FinGBMNumericalScheme.ANTITHETIC
processType = FinProcessTypes.GBM
domDiscountCurve = FinDiscountCurveFlat(valueDate, domInterestRate)
forDiscountCurve = FinDiscountCurveFlat(valueDate, forInterestRate)
model = FinFXModelBlackScholes(volatility)
###########################################################################
import time
start = time.time()
numObservationsPerYear = 100
for optionType in FinFXBarrierTypes:
testCases.header("Type", "K", "B", "S", "Value", "ValueMC", "TIME",
"Diff")
for spotFXRate in range(60, 140, 10):
B = 110.0
K = 100.0
option = FinFXBarrierOption(expiryDate, K, currencyPair,
optionType, B, numObservationsPerYear,
notional, notionalCurrency)
value = option.value(valueDate, spotFXRate, domDiscountCurve,
forDiscountCurve, model)
start = time.time()
modelParams = (spotFXRate, drift, volatility, scheme)
valueMC = option.valueMC(valueDate, spotFXRate, domInterestRate,
processType, modelParams)
end = time.time()
timeElapsed = round(end - start, 3)
diff = valueMC - value
testCases.print(optionType, K, B, spotFXRate, value, valueMC,
timeElapsed, diff)
for spotFXRate in range(60, 140, 10):
B = 100.0
K = 110.0
option = FinFXBarrierOption(expiryDate, K, currencyPair,
optionType, B, numObservationsPerYear,
notional, notionalCurrency)
value = option.value(valueDate, spotFXRate, domDiscountCurve,
forDiscountCurve, model)
start = time.time()
modelParams = (spotFXRate, drift, volatility, scheme)
valueMC = option.valueMC(valueDate, spotFXRate, domInterestRate,
processType, modelParams)
end = time.time()
timeElapsed = round(end - start, 3)
diff = valueMC - value
testCases.print(optionType, K, B, spotFXRate, value, valueMC,
timeElapsed, diff)
end = time.time()
##########################################################################
spotFXRates = range(50, 150, 50)
B = 105.0
testCases.header("Type", "K", "B", "S:", "Value", "Delta", "Vega", "Theta")
for optionType in FinFXBarrierTypes:
for spotFXRate in spotFXRates:
barrierOption = FinFXBarrierOption(expiryDate, 100.0, currencyPair,
optionType, B,
numObservationsPerYear,
notional, notionalCurrency)
value = barrierOption.value(valueDate, spotFXRate,
domDiscountCurve, forDiscountCurve,
model)
delta = barrierOption.delta(valueDate, spotFXRate,
domDiscountCurve, forDiscountCurve,
model)
vega = barrierOption.vega(valueDate, spotFXRate, domDiscountCurve,
forDiscountCurve, model)
theta = barrierOption.theta(valueDate, spotFXRate,
domDiscountCurve, forDiscountCurve,
model)
testCases.print(optionType, K, B, spotFXRate, value, delta, vega,
theta)
def test_FinFXOptionSABR():
# UNFINISHED
# There is no FXAmericanOption class. It is embedded in the FXVanillaOption
# class. This test just compares it to the European
valueDate = FinDate(13, 2, 2018)
expiryDate = FinDate(13, 2, 2019)
# In BS the FX rate is the price in domestic of one unit of foreign
# In case of EURUSD = 1.3 the domestic currency is USD and foreign is EUR
# DOM = USD , FOR = EUR
ccy1CCRate = 0.030 # EUR
ccy2CCRate = 0.025 # USD
spotFXRate = 1.20
strikeFXRate = 1.250
volatility = 0.10
notional = 1000000.0
domDiscountCurve = FinDiscountCurveFlat(valueDate, ccy2CCRate)
forDiscountCurve = FinDiscountCurveFlat(valueDate, ccy1CCRate)
model = FinFXModelBlackScholes(volatility)
# Two examples to show that changing the notional currency and notional
# keeps the value unchanged
notional = 1000000.0
spotFXRates = np.arange(50, 200, 10) / 100.0
testCases.header("OPTION", "FX_RATE", "VALUE_BS", "VOL_IN", "DIFF")
for spotFXRate in spotFXRates:
callOption = FinFXVanillaOption(expiryDate, strikeFXRate, "EURUSD",
FinOptionTypes.EUROPEAN_CALL, notional,
"USD")
valueEuropean = callOption.value(valueDate, spotFXRate,
domDiscountCurve, forDiscountCurve,
model)['v']
callOption = FinFXVanillaOption(expiryDate, strikeFXRate, "EURUSD",
FinOptionTypes.AMERICAN_CALL, 1000000,
"USD")
valueAmerican = callOption.value(valueDate, spotFXRate,
domDiscountCurve, forDiscountCurve,
model)['v']
diff = (valueAmerican - valueEuropean)
testCases.print("CALL:", "%9.6f" % spotFXRate, "%9.7f" % valueEuropean,
"%9.7f" % valueAmerican, "%9.7f" % diff)
testCases.header("OPTION", "FX_RATE", "VALUE_BS", "VOL_IN", "DIFF")
for spotFXRate in spotFXRates:
callOption = FinFXVanillaOption(expiryDate, strikeFXRate, "EURUSD",
FinOptionTypes.EUROPEAN_PUT, 1000000,
"USD")
valueEuropean = callOption.value(valueDate, spotFXRate,
domDiscountCurve, forDiscountCurve,
model)['v']
callOption = FinFXVanillaOption(expiryDate, strikeFXRate, "EURUSD",
FinOptionTypes.AMERICAN_PUT, 1000000,
"USD")
valueAmerican = callOption.value(valueDate, spotFXRate,
domDiscountCurve, forDiscountCurve,
model)['v']
diff = (valueAmerican - valueEuropean)
testCases.print("PUT:", "%9.6f" % spotFXRate, "%9.7f" % valueEuropean,
"%9.7f" % valueAmerican, "%9.7f" % diff)
def test_FinFXAmericanOption():
# There is no FXAmericanOption class. It is embedded in the FXVanillaOption
# class. This test just compares it to the European
valueDate = FinDate(13, 2, 2018)
expiryDate = FinDate(13, 2, 2019)
# In BS the FX rate is the price in domestic of one unit of foreign
# In case of EURUSD = 1.3 the domestic currency is USD and foreign is EUR
# DOM = USD , FOR = EUR
ccy1 = "EUR"
ccy2 = "USD"
ccy1CCRate = 0.030 # EUR
ccy2CCRate = 0.025 # USD
currencyPair = ccy1 + ccy2 # Always ccy1ccy2
spotFXRate = 1.20
strikeFXRate = 1.250
volatility = 0.10
spotDays = 0
settlementDate = valueDate.addWorkDays(spotDays)
maturityDate = settlementDate.addMonths(12)
notional = 1000000.0
notionalCurrency = "EUR"
calendarType = FinCalendarTypes.TARGET
domDiscountCurve = FinFlatCurve(valueDate, ccy2CCRate)
forDiscountCurve = FinFlatCurve(valueDate, ccy1CCRate)
model = FinFXModelBlackScholes(volatility)
# Two examples to show that changing the notional currency and notional
# keeps the value unchanged
notional = 1000000.0
testCases.header("SPOT FX RATE", "VALUE_BS", "VOL_IN", "IMPLD_VOL")
spotFXRates = np.arange(50, 200, 10) / 100.0
for spotFXRate in spotFXRates:
callOption = FinFXVanillaOption(expiryDate, strikeFXRate, "EURUSD",
FinOptionTypes.EUROPEAN_CALL, 1000000,
"USD")
valueEuropean = callOption.value(valueDate, spotFXRate,
domDiscountCurve, forDiscountCurve,
model)['v']
callOption = FinFXVanillaOption(expiryDate, strikeFXRate, "EURUSD",
FinOptionTypes.AMERICAN_CALL, 1000000,
"USD")
valueAmerican = callOption.value(valueDate, spotFXRate,
domDiscountCurve, forDiscountCurve,
model)['v']
diff = (valueAmerican - valueEuropean)
print("CALL %9.6f %9.6f %9.7f %10.8f" %
(spotFXRate, valueEuropean, valueAmerican, diff))
for spotFXRate in spotFXRates:
callOption = FinFXVanillaOption(expiryDate, strikeFXRate, "EURUSD",
FinOptionTypes.EUROPEAN_PUT, 1000000,
"USD")
valueEuropean = callOption.value(valueDate, spotFXRate,
domDiscountCurve, forDiscountCurve,
model)['v']
callOption = FinFXVanillaOption(expiryDate, strikeFXRate, "EURUSD",
FinOptionTypes.AMERICAN_PUT, 1000000,
"USD")
valueAmerican = callOption.value(valueDate, spotFXRate,
domDiscountCurve, forDiscountCurve,
model)['v']
diff = (valueAmerican - valueEuropean)
print("PUT %9.6f %9.6f %9.7f %10.8f" %
(spotFXRate, valueEuropean, valueAmerican, diff))
def test_FinFXVanillaOptionHullExample():
# Example from Hull 4th edition page 284
valueDate = FinDate(2015, 1, 1)
expiryDate = valueDate.addMonths(4)
spotFXRate = 1.60
volatility = 0.1411
domInterestRate = 0.08
forInterestRate = 0.11
model = FinFXModelBlackScholes(volatility)
domDiscountCurve = FinDiscountCurveFlat(valueDate, domInterestRate)
forDiscountCurve = FinDiscountCurveFlat(valueDate, forInterestRate)
numPathsList = [10000, 20000, 40000, 80000, 160000, 320000]
testCases.header("NUMPATHS", "VALUE_BS", "VALUE_MC", "TIME")
strikeFXRate = 1.60
for numPaths in numPathsList:
callOption = FinFXVanillaOption(expiryDate, strikeFXRate, "EURUSD",
FinOptionTypes.EUROPEAN_CALL, 1000000,
"USD")
value = callOption.value(valueDate, spotFXRate, domDiscountCurve,
forDiscountCurve, model)
start = time.time()
valueMC = callOption.valueMC(valueDate, spotFXRate, domDiscountCurve,
forDiscountCurve, model, numPaths)
end = time.time()
duration = end - start
testCases.print(numPaths, value, valueMC, duration)
##########################################################################
spotFXRates = np.arange(100, 200, 10)
spotFXRates = spotFXRates / 100.0
numPaths = 100000
testCases.header("NUMPATHS", "CALL_VALUE_BS", "CALL_VALUE_MC", "TIME")
for spotFXRate in spotFXRates:
callOption = FinFXVanillaOption(expiryDate, strikeFXRate, "EURUSD",
FinOptionTypes.EUROPEAN_CALL, 1000000,
"USD")
value = callOption.value(valueDate, spotFXRate, domDiscountCurve,
forDiscountCurve, model)
start = time.time()
valueMC = callOption.valueMC(valueDate, spotFXRate, domDiscountCurve,
forDiscountCurve, model, numPaths)
end = time.time()
duration = end - start
testCases.print(numPaths, value, valueMC, duration)
##########################################################################
spotFXRates = np.arange(100, 200, 10) / 100.0
numPaths = 100000
testCases.header("SPOT FX RATE", "PUT_VALUE_BS", "PUT_VALUE_MC", "TIME")
for spotFXRate in spotFXRates:
putOption = FinFXVanillaOption(expiryDate, strikeFXRate, "EURUSD",
FinOptionTypes.EUROPEAN_PUT, 1000000,
"USD")
value = putOption.value(valueDate, spotFXRate, domDiscountCurve,
forDiscountCurve, model)
start = time.time()
valueMC = putOption.valueMC(valueDate, spotFXRate, domDiscountCurve,
forDiscountCurve, model, numPaths)
end = time.time()
duration = end - start
testCases.print(spotFXRate, value, valueMC, duration)
##########################################################################
spotFXRates = np.arange(100, 200, 10) / 100.0
testCases.header("SPOT FX RATE", "CALL_VALUE_BS", "DELTA_BS", "VEGA_BS",
"THETA_BS", "RHO_BS")
for spotFXRate in spotFXRates:
callOption = FinFXVanillaOption(expiryDate, strikeFXRate, "EURUSD",
FinOptionTypes.EUROPEAN_CALL, 1000000,
"USD")
value = callOption.value(valueDate, spotFXRate, domDiscountCurve,
forDiscountCurve, model)
delta = callOption.delta(valueDate, spotFXRate, domDiscountCurve,
forDiscountCurve, model)
vega = callOption.vega(valueDate, spotFXRate, domDiscountCurve,
forDiscountCurve, model)
theta = callOption.theta(valueDate, spotFXRate, domDiscountCurve,
forDiscountCurve, model)
# callOption.rho(valueDate,stockPrice, interestRate,
# dividendYield, modelType, modelParams)
rho = 999
testCases.print(spotFXRate, value, delta, vega, theta, rho)
testCases.header("SPOT FX RATE", "PUT_VALUE_BS", "DELTA_BS", "VEGA_BS",
"THETA_BS", "RHO_BS")
for spotFXRate in spotFXRates:
putOption = FinFXVanillaOption(expiryDate, strikeFXRate, "EURUSD",
FinOptionTypes.EUROPEAN_PUT, 1000000,
"USD")
value = putOption.value(valueDate, spotFXRate, domDiscountCurve,
forDiscountCurve, model)
delta = putOption.delta(valueDate, spotFXRate, domDiscountCurve,
forDiscountCurve, model)
vega = putOption.vega(valueDate, spotFXRate, domDiscountCurve,
forDiscountCurve, model)
theta = putOption.theta(valueDate, spotFXRate, domDiscountCurve,
forDiscountCurve, model)
# putOption.rho(valueDate,stockPrice, interestRate, dividendYield,
# modelType, modelParams)
rho = 999
testCases.print(spotFXRate, value, delta, vega, theta, rho)
##########################################################################
testCases.header("SPOT FX RATE", "VALUE_BS", "VOL_IN", "IMPLD_VOL")
spotFXRates = np.arange(100, 200, 10) / 100.0
for spotFXRate in spotFXRates:
callOption = FinFXVanillaOption(expiryDate, strikeFXRate, "EURUSD",
FinOptionTypes.EUROPEAN_CALL, 1000000,
"USD")
value = callOption.value(valueDate, spotFXRate, domDiscountCurve,
forDiscountCurve, model)['v']
impliedVol = callOption.impliedVolatility(valueDate, spotFXRate,
domDiscountCurve,
forDiscountCurve, value)
testCases.print(spotFXRate, value, volatility, impliedVol)
