print('maturity date : ', maturitydt)
# maturitydt = to_ql_date(maturity_date)
#print(maturitydt)
# barrier = 2.8
barrier = 2.6
strike = 2.8
# optionType = ql.Option.Call
# barrierType = ql.Barrier.UpOut
optionType = ql.Option.Put
barrierType = ql.Barrier.DownOut
contractType = '50etf'
engineType = 'BinomialBarrierEngine'
barrier_type = 'downout'
# barrier_type = 'upin'
evaluation = Evaluation(evalDate, daycounter, calendar)
spot, black_var_surface, const_vol = get_vol_data(evalDate, daycounter,
calendar,
contractType) # 收盘价
optionBarrierEuropean = OptionBarrierEuropean(strike, maturitydt, optionType,
barrier, barrierType)
barrier_option = optionBarrierEuropean.option_ql
option_call = OptionPlainEuropean(strike, maturitydt, ql.Option.Call)
plain_option = option_call.option_ql
underlying = ql.SimpleQuote(S0)
spot_range = np.arange(
min(strike, barrier) - 0.1,
max(strike, barrier) + 0.05, 0.0005)
# barrier_prices = []
# plain_prices = []
maturitydt = calendar.advance(begin_date,ql.Period(3,ql.Months))
# Evaluation Settings
begDate = begin_date
svidata = svi_dataset.get(to_dt_date(begin_date))
strike = svidata.spot
barrier = strike*(1+pct)
endDate = calendar.advance(maturitydt,ql.Period(-1,ql.Days))
################Barrier Option Info#####################
#print('barrier/strike',barrier/strike)
optionBarrierEuropean = OptionBarrierEuropean(strike,maturitydt,optionType,barrier,barrierType)
barrier_option = optionBarrierEuropean.option_ql
hist_spots = []
#########################################################
# construct vol surface on last day's close prices.
evaluation = Evaluation(begDate, daycounter, calendar)
daily_close, black_var_surface, const_vol = get_vol_data(begDate,daycounter,calendar,contractType)
#print('init spot : ',daily_close)
underlying = ql.SimpleQuote(daily_close)
process_svi_h = evaluation.get_bsmprocess(daycounter, underlying, black_var_surface)
process_bs_h = evaluation.get_bsmprocess_cnstvol(daycounter, calendar, underlying, const_vol)
price_bs, delta_bs = exotic_util.calculate_barrier_price(evaluation, optionBarrierEuropean, hist_spots,
process_bs_h, engineType)
try:
price_svi, delta_svi = exotic_util.calculate_barrier_price(evaluation, optionBarrierEuropean, hist_spots,
process_svi_h, engineType)
except:
continue
init_svi = price_svi
init_bs = price_bs
with open(
os.path.abspath('..') +
'/intermediate_data/total_hedging_daily_svi_dataset_puts.pickle',
'rb') as f:
daily_svi_dataset = pickle.load(f)[0]
with open(
os.path.abspath('..') +
'/intermediate_data/total_hedging_daily_params_puts.pickle',
'rb') as f:
daily_params_p = pickle.load(f)[0]
date = datetime.date(2017, 7, 17)
date_ql = util.to_ql_date(date)
daycounter = ql.ActualActual()
calendar = ql.China()
evaluation = Evaluation(date_ql, daycounter, calendar)
paramset_c = daily_params_c.get(date)
paramset_p = daily_params_p.get(date)
dataset = daily_svi_dataset.get(date)
cal_vols, put_vols, maturity_dates, underlying, rfs = dataset
index = 3
mdate = maturity_dates[index]
maturitydt = util.to_ql_date(mdate)
print(maturitydt)
params_c = paramset_c[index]
params_p = paramset_p[index]
rf = util.get_rf_tbcurve(date_ql, daycounter, maturitydt)
ttm = daycounter.yearFraction(date_ql, maturitydt)
discount = math.exp(-rf * ttm)
"%15s %15s %15s %15s %15s %15s %15s %15s %15s %15s %15s" %
("eval date", "spot", "svi vol", "bs vol", "delta svi", "delta bs",
'price_svi', 'price_bs', 'portfolio_svi', 'portfolio_bs', 'transaction'))
print('-' * 200)
hist_spots = []
barriers = []
dates = []
rebalancings = []
pnls_svi = []
pnls_bs = []
results = {}
#######################################################################################################
# Construct initial rebalancing portfolio
begDate = begin_date
evaluation = Evaluation(begDate, daycounter, calendar)
daily_close, black_var_surface, const_vol = get_vol_data(
begDate, daycounter, calendar, contractType)
ttm = daycounter.yearFraction(begDate, maturitydt)
price_svi, price_bs, delta_svi, delta_bs = 0.0, 0.0, 0.0, 0.0
try:
price_svi, delta_svi, price_bs, delta_bs, svi_vol = exotic_util.calculate_matrics(
evaluation, daycounter, calendar, optionBarrierEuropean, hist_spots,
daily_close, black_var_surface, const_vol, engineType, ttm)
except Exception as e:
print(e)
print('initial price unavailable')
# init_svi = price_svi
# init_bs = price_bs
init_svi = init_bs = max(price_svi, price_bs)
evalDate = ql.Date(14, 7, 2017)
calendar = ql.China()
daycounter = ql.ActualActual()
contractType = '50etf'
engineType = 'AnalyticEuropeanEngine'
facevalue = 10000
# i = 3
rf = 0.03
optionType = ql.Option.Call
barrierType = ql.Barrier.DownOut
evalDate = calendar.advance(evalDate, ql.Period(1, ql.Days))
evaluation = Evaluation(evalDate, daycounter, calendar)
maturitydt = ql.Date(30, 9, 2017)
endDate = ql.Date(25, 9, 2017)
# maturitydt = calendar.advance(evalDate,ql.Period(3,ql.Months))
svidata = svi_dataset.get(to_dt_date(evalDate))
paramset = calibrered_params_ts.get(to_dt_date(evalDate))
volSurface = SviVolSurface(evalDate, paramset, daycounter, calendar)
daily_close = svidata.spot
maturity_dates = sorted(svidata.dataSet.keys())
svi = SviPricingModel(volSurface, daily_close, daycounter, calendar,
to_ql_dates(maturity_dates), ql.Option.Call,
contractType)
black_var_surface = svi.black_var_surface()