def price_fd(swaption_pricer, loca_vola, swaption):
expiry = swaption.expiry
initial_curve = swaption_pricer.swap_pricer.initial_curve
kappa = swaption_pricer.swap_pricer.kappa
x_min, x_max = calculate_x_boundaries3(expiry, kappa, loca_vola, alpha=4)
y_min, y_max = calculate_u_boundaries(expiry, kappa, loca_vola, alpha=4)
mesher = Mesher2d()
mesher.create_mesher_2d(0, expiry, 200, x_min, x_max, 400, y_min, y_max,
40)
adi_runner = AdiRunner(1 / 2, kappa, initial_curve, loca_vola, mesher)
swaption_t0 = pd.DataFrame(adi_runner.run_adi(swaption, swaption_pricer))
swaption_t0_x0_y0 = extract_x0_result(swaption_t0.values, mesher.xgrid,
mesher.ugrid)
implied_black_vola = find_implied_black_vola(
swaption_t0_x0_y0, swaption, swaption_pricer.swap_pricer,
swaption_pricer.swap_pricer.bond_pricer)
return implied_black_vola
def lognormalimpliedvola(swaption: Swaption, swap_pricer: SwapPricer,
lambda_s_bar, b_bar):
black76price = Black76Pricer(lambda_s_bar, b_bar, swap_pricer,
swap_pricer.bond_pricer)
swaption_value = black76price.black76_price(swaption)
black_implied_vola = find_implied_black_vola(swaption_value, swaption,
swap_pricer,
swap_pricer.bond_pricer)
return swaption_value, black_implied_vola
def test_adi_swaption2():
swaption_expiry = 5
swaption_maturity = 10
freq = 0.5
rate = 0.06
initial_curve = get_mock_yield_curve_const(rate=rate)
kappa = 0.3
swap_pricer = SwapPricer(initial_curve, kappa)
swap = Swap(swaption_expiry, swaption_maturity, freq)
swaption_pricer = SwaptionPricer(swap_pricer)
coupon = swap_pricer.price(swap, 0, 0, 0)
swaption = Swaption(swaption_expiry, coupon, swap)
local_volatility = LinearLocalVolatility.from_const(30, 0.5, 0.1, 0.2)
#local_volatility = LinearLocalVolatility.from_const(30, 0.1, 0.1, 0.1)
t_min = 0
t_max = swaption_expiry
t_grid_size = 100
x_grid_size = 401
y_grid_size = 20
x_min, x_max = calculate_x_boundaries2(t_max, local_volatility, alpha=3)
y_min, y_max = calculate_u_boundaries(t_max,
kappa,
local_volatility,
alpha=3)
mesher = Mesher2d()
mesher.create_mesher_2d(t_min, t_max, t_grid_size, x_min, x_max,
x_grid_size, y_min, y_max, y_grid_size)
theta = 0.5
adi_runner = AdiRunner(theta, kappa, initial_curve, local_volatility,
mesher)
swaption_value0 = adi_runner.run_adi(swaption, swaption_pricer)
x0 = extract_x0_result(swaption_value0, mesher.xgrid, mesher.ugrid)
implied_vola = find_implied_black_vola(x0, swaption, swap_pricer,
swap_pricer.bond_pricer)
print("Swaption value at 0: ", x0, implied_vola)
def calculate_swaption_approx_price(swaption: Swaption,
swap_pricer: SwapPricer, lambda_square,
b_s):
lambda_s_bar, b_bar = calculate_vola_skew(swaption.expiry, lambda_square,
b_s)
black76price = Black76Pricer(lambda_s_bar, b_bar, swap_pricer,
swap_pricer.bond_pricer)
swaption_value = black76price.black76_price(swaption)
black_implied_vola = find_implied_black_vola(swaption_value, swaption,
swap_pricer,
swap_pricer.bond_pricer)
return swaption_value, black_implied_vola
def test_implied_black_vola():
kappa = 0.3
swap = Swap(5, 8, 0.5)
initial_curve = LiborCurve.from_constant_rate(0.06)
bond_pricer = BondPricer(initial_curve, kappa=kappa)
swap_pricer = SwapPricer(initial_curve, kappa=kappa)
coupon = 0.062
swaption = Swaption(expiry=5, coupon=coupon, swap=swap)
swaption_pricer = Black76Pricer(lambda_s=0.2,
b_s=1,
swap_pricer=swap_pricer,
bond_pricer=bond_pricer)
swaption_value = swaption_pricer.black76_price(swaption)
implied_vola = find_implied_black_vola(swaption_value, swaption,
swap_pricer, bond_pricer)
np.testing.assert_approx_equal(implied_vola, 0.2, significant=4)
def mc_swaption_report():
output_path = os.path.join(output_data_raw_monte_carlo, date_timestamp)
output_file = os.path.join(output_path, "swaption_price_mc.hdf")
file_path = get_nonexistant_path(output_file)
#random_number_generator_type = "sobol"
random_number_generator_type = "normal"
curve_rate = 0.06
kappa_grid = [0.03]
initial_curve = get_mock_yield_curve_const(rate=curve_rate)
vola_parameters = [(i, curve_rate, j) for i in [0.05, 0.2, 0.4, 0.5] for j in [0.05, 0.1, 0.3, 0.7]]
vola_parameters = [(i, curve_rate, j) for i in [0.4] for j in [0.3]]
vola_grid_df = pd.DataFrame(vola_parameters, columns=["lambda", "alpha", "beta"])
coupon_grid = [0, +0.0025, -0.0025, +0.005, -0.005, +0.01, -0.01, 0.015, -0.015, 0.02, -0.02, 0.025, -0.025]
#vola_grid_df = vola_grid_df.iloc[[10]]
number_paths = np.power(2, 15)
number_time_steps = np.power(2, 11)
swap_ls = [(1, 6), (5, 10), (10, 20), (20, 30), (25, 30)]
swap_ls = [(5, 10), (10, 20), (20, 30)]
swap_ls = [(5, 10)]
#swap_ls = [(1, 11)]
for number_paths in [np.power(2,12), np.power(2, 13), np.power(2, 14), np.power(2, 15), np.power(2, 16), np.power(2, 17)]:
for swap_exp_mat in swap_ls:
print("swap: ", swap_exp_mat)
expiry, maturity = swap_exp_mat
for kappa in kappa_grid:
swap_pricer = SwapPricer(initial_curve, kappa)
swaption_pricer = SwaptionPricer(swap_pricer)
swap = Swap(expiry, maturity, 0.5)
atm_swap_price = swap_pricer.price(swap, 0, 0, 0)
strike_grid = [atm_swap_price+coupon for coupon in coupon_grid]
for index, vola_grid_row in vola_grid_df.iterrows():
loca_vola = LinearLocalVolatility.from_const(maturity, vola_grid_row["lambda"],
vola_grid_row["alpha"], vola_grid_row["beta"])
bond_measure = swap.bond_T0
process_simulator = ProcessSimulatorTerminalMeasure(number_paths, number_time_steps,
expiry / number_time_steps,
random_number_generator_type, bond_measure,
swap_pricer.bond_pricer, nr_processes=6,
n_scrambles=64)
result_obj = process_simulator.simulate_xy(kappa, loca_vola, parallel_simulation=True)
for strike in strike_grid:
swaption = Swaption(expiry, strike, swap)
swaption_value_paths = monte_carlo_pricer_terminal_measure(result_obj, swaption, swaption_pricer)
last_mc_time = result_obj.time_grid[-1]
# swaption_value_paths_cv = apply_control_variate(last_mc_time, result_obj.x[:,-1], result_obj.y[:,-1],
# swaption_value_paths, swap.bond_TN, swap_pricer.bond_pricer, swap_pricer.initial_curve)
swaption_value_paths_cv2 = apply_control_variate_annuity(last_mc_time, result_obj.x[:, -1],
result_obj.y[:, -1], swaption_value_paths,
swap.annuity, swap_pricer.annuity_pricer,
swap_pricer.annuity_pricer.bond_pricer.initial_curve)
swaption_value_mean = swaption_value_paths.mean()
std, swaption_value_error = result_obj.calculate_std_error(swaption_value_paths, result_obj.n_scrambles)
# swaption_value_mean_cv = swaption_value_paths_cv.mean()
# std, swaption_value_error_cv = result_obj.calculate_std_error(swaption_value_paths_cv, result_obj.n_scrambles)
swaption_value_mean_cv = swaption_value_paths_cv2.mean()
std, swaption_value_error_cv = result_obj.calculate_std_error(swaption_value_paths_cv2,
result_obj.n_scrambles)
bond_pricer = swap_pricer.bond_pricer
output_data = {"number_paths": number_paths, "number_time_steps": number_time_steps,
"random_number_generator_type": random_number_generator_type, "expiry": expiry,
"maturity": maturity, "strike": strike, "atm strike": atm_swap_price,
"moneyness": strike-atm_swap_price, "vola_lambda": vola_grid_row["lambda"],
"vola_alpha": vola_grid_row["alpha"], "vola_beta": vola_grid_row["beta"],
"curve_rate": curve_rate, "kappa": kappa, "swaption value": swaption_value_mean,
"swaption value error": swaption_value_error,
"swaption value cv": swaption_value_mean_cv,
"swaption value error cv": swaption_value_error_cv,
"implied_vola": find_implied_black_vola(swaption_value_mean, swaption,
swap_pricer, bond_pricer),
"implied_vola_max": find_implied_black_vola(swaption_value_mean+swaption_value_error,
swaption, swap_pricer, bond_pricer),
"implied_vola_min": find_implied_black_vola(swaption_value_mean-swaption_value_error,
swaption, swap_pricer, bond_pricer),
"implied_vola_cv": find_implied_black_vola(swaption_value_mean_cv, swaption,
swap_pricer, bond_pricer),
"implied_vola_cv_max": find_implied_black_vola(swaption_value_mean_cv + swaption_value_error_cv, swaption,
swap_pricer, bond_pricer),
"implied_vola_cv_min": find_implied_black_vola(swaption_value_mean_cv - swaption_value_error_cv, swaption,
swap_pricer, bond_pricer)}
output_df_new = pd.DataFrame(output_data, index=[0])
try:
ouput_df_old = pd.read_hdf(file_path, key="output_data")
except:
ouput_df_old = pd.DataFrame()
output_df_new = pd.concat([ouput_df_old, output_df_new])
output_df_new.to_hdf(file_path, key="output_data", complevel=9)
def adi_swaption_report():
output_path = os.path.join(output_data_raw_finite_difference, date_timestamp)
curve_rate = 0.06
kappa_grid = [0.03]
theta = 1/2
initial_curve = get_mock_yield_curve_const(rate=curve_rate)
finite_difference_parameter = [(100, 150, 10), (400, 800, 60)]
finite_difference_parameter = [(150, 200, 80)]
#finite_difference_parameter = [(400, 800, 60)]
#finite_difference_parameter = [(800, 1000, 100)]
finite_difference_parameter = [(50, 100, 10), (100, 150, 20), (150, 200, 40), (200, 300, 60), (300, 400, 80)]
finite_difference_parameter = [(400, 600, 100)]
#finite_difference_parameter = [(600, 800, 120)]
#finite_difference_parameter = [(100, 150, 20), (150, 200, 40), (300, 400, 80), (400, 600, 100)]
#finite_difference_parameter = [ (400, 600, 100)]
finite_difference_parameter = [(100, 150, 20), (150, 200, 40), (300, 400, 80), (400, 600, 100)]
#finite_difference_parameter = [ (400, 600, 100)]
finite_difference_parameter = [(300, 400, 80)]
#finite_difference_parameter = [(150, 200, 40)]
finite_difference_grid_df = pd.DataFrame(finite_difference_parameter, columns=["t_grid_size", "x_grid_size", "y_grid_size"])
output_path = get_nonexistant_path(output_path)
vola_parameters = [(i, curve_rate, j) for i in [0.6, 0.8] for j in [0.05, 0.2]]
vola_grid_df = pd.DataFrame(vola_parameters, columns=["lambda", "alpha", "beta"])
#coupon_grid = [0, +0.0025, -0.0025, +0.005, -0.005, +0.01, -0.01, 0.015, -0.015, 0.02, -0.02, 0.025, -0.025]
#swap_ls = [(1, 6), (5, 10), (10, 20), (20, 30), (25, 30)]
#swap_ls = [(1,6), (5, 10), (10,20)]
swap_ls = [(20, 21)]
coupon_grid = [0, +0.005, -0.005, +0.01, -0.01, 0.015, -0.015]
#coupon_grid = [0]
#coupon_grid = [0]
#swap_ls = [(5, 10)]
#finite_difference_grid_df = finite_difference_grid_df[:-1]
vola_grid_df = vola_grid_df.iloc[[0, 3]]
for swap_exp_mat in swap_ls:
expiry, maturity = swap_exp_mat
for kappa in kappa_grid:
swap_pricer = SwapPricer(initial_curve, kappa)
swaption_pricer = SwaptionPricer(swap_pricer)
swap = Swap(expiry, maturity, 0.5)
atm_swap_price = swap_pricer.price(swap, 0, 0, 0)
strike_grid = [atm_swap_price+coupon for coupon in coupon_grid]
#strike_grid = [0.01, 0.015, 0.02, 0.025, 0.03]
for strike in strike_grid:
swaption = Swaption(expiry, strike, swap)
for index, vola_grid_row in vola_grid_df.iterrows():
loca_vola = LinearLocalVolatility.from_const(maturity, vola_grid_row["lambda"], vola_grid_row["alpha"], vola_grid_row["beta"])
for index, finite_difference_grid_row in finite_difference_grid_df.iterrows():
x_grid_size = finite_difference_grid_row["x_grid_size"]
y_grid_size = finite_difference_grid_row["y_grid_size"]
t_grid_size = finite_difference_grid_row["t_grid_size"]
t_min = 0
t_max = expiry
x_min, x_max = calculate_x_boundaries2(t_max, loca_vola, alpha=3)
x_min, x_max = calculate_x_boundaries3(expiry, kappa, loca_vola, alpha=4)
y_min, y_max = calculate_u_boundaries(t_max, kappa, loca_vola, alpha=4)
mesher = Mesher2d()
mesher.create_mesher_2d(t_min, t_max, t_grid_size, x_min, x_max, x_grid_size, y_min, y_max,
y_grid_size)
adi_runner = AdiRunner(theta, kappa, initial_curve, loca_vola, mesher)
swaption_t0 = pd.DataFrame(adi_runner.run_adi(swaption, swaption_pricer))
output_file = os.path.join(output_path, "swaption_price_fd.hdf")
file_path = get_nonexistant_path(output_file)
swaption_t0_x0_y0 = extract_x0_result(swaption_t0.values, mesher.xgrid, mesher.ugrid)
implied_black_vola = find_implied_black_vola(swaption_t0_x0_y0, swaption, swap_pricer, swap_pricer.bond_pricer)
meta_data = {"expiry": expiry, "maturity": maturity, "strike": strike,
"atm strike": atm_swap_price, "moneyness": strike - atm_swap_price,
"x_grid_size": int(x_grid_size), "y_grid_size": int(y_grid_size),
"t_grid_size": int(t_grid_size),
"vola_lambda": vola_grid_row["lambda"], "vola_alpha": vola_grid_row["alpha"],
"vola_beta": vola_grid_row["beta"], "curve_rate": curve_rate, "kappa": kappa,
"swaption_value": swaption_t0_x0_y0, "implied_black_vola": implied_black_vola}
meta_data = pd.DataFrame(meta_data, index=[0])
swaption_t0.to_hdf(file_path, key="data", complevel=5)
meta_data.to_hdf(file_path, key="metadata", complevel=5)
print(meta_data)
pd.DataFrame(mesher.xmesh).to_hdf(file_path, key='xmesh', complevel=5)
pd.DataFrame(mesher.umesh).to_hdf(file_path, key='ymesh', complevel=5)
pd.DataFrame(mesher.xgrid).to_hdf(file_path, key='xgrid', complevel=5)
pd.DataFrame(mesher.ugrid).to_hdf(file_path, key='ygrid', complevel=5)