Script to generate prices from random dataHEADmaster

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+#! /usr/bin/env python3
+# author : S. Mandalia
+#          shivesh.mandalia@outlook.com
+#
+# date   : May 20, 2020
+
+
+"""
+Exotic options by Monte Carlo.
+
+Generate fake data.
+
+"""
+
+import random
+from typing import List
+
+import numpy as np
+
+from utils.engine import PricingEngine
+from utils.path import PathGenerator
+from utils.payoff import AsianArithmeticPayOff, DiscreteBarrierPayOff
+from utils.payoff import VanillaPayOff
+
+
+__all__ = ['vanilla', 'asian', 'barrier']
+
+
+NGEN = 13
+# NGEN = 10
+NTRIALS = 1e5
+
+
+def vanilla() -> None:
+    """Generate Vanilla option fake data."""
+    outfile = './vanilla.csv'
+
+    with open(outfile, 'w') as f:
+        s = 'ID,Spot,Strike,Risk-Free Rate,Years to Expiry,Volatility,' \
+            'Option Right,Price\n'
+        f.write(s)
+
+        idx = 0
+        for ndx in range(NGEN):
+            if (ndx + 1) % 10 == 0:
+                print('{0} / {1}'.format(ndx + 1, NGEN))
+
+            for right in ('Call', 'Put'):
+                S, K, T, r, vol = np.random.random(5)
+                S *= 300
+                K *= 300
+                r = r * 1E-2 - 5E-3
+                T *= 3
+                vol += 1E-4
+
+                path = PathGenerator(S=S, r=r, div=0., vol=vol)
+                payoff = VanillaPayOff(K=K, option_right=right)
+                engine = PricingEngine(payoff=payoff, path=path)
+
+                # Price
+                result = engine.price(T=[0, T], ntrials=NTRIALS)
+                s = '{0},{1:.6g},{2:.6g},{3:.6g},{4:.6g},{5:.6g},{6},' \
+                    '{7:.6g}\n'.format(
+                        idx, S, K, r, T, vol, right, result.price
+                    )
+                f.write(s)
+                idx += 1
+
+
+def asian() -> None:
+    """Generate Asian option fake data."""
+    outfile = './asian.csv'
+
+    with open(outfile, 'w') as f:
+        s = 'ID,Spot,Strike,Risk-Free Rate,Years to Expiry,Volatility,' \
+            'Option Right,Averaging Days,Price\n'
+        f.write(s)
+
+        idx = 0
+        for right in ('Call', 'Put'):
+            idy = 0
+            while idy < NGEN:
+                S, K, T, r, vol = np.random.random(5)
+                S *= 300
+                K *= 300
+                r = r * 1E-2 - 5E-3
+                T *= 1
+                vol += 1E-4
+
+                path = PathGenerator(S=S, r=r, div=0., vol=vol)
+                payoff = AsianArithmeticPayOff(K=K, option_right=right)
+                engine = PricingEngine(payoff=payoff, path=path)
+
+                # (i) an Asian call option with maturity in T year(s) and
+                #     30 days averaging.
+                ad = 30
+                n = int(T * 365 // ad)
+                if n > 1:
+                    # f_start = (T * 365 - n * ad)
+                    # t = [(x * ad) + f_start for x in range(n + 1)]
+                    t = [(x * ad / 365.) for x in range(n + 1)]
+
+                    # Price
+                    result = engine.price(T=t, ntrials=NTRIALS)
+                    if abs(result.price) < 1E-5:
+                        continue
+                    s = '{0},{1:.6g},{2:.6g},{3:.6g},{4:.6g},{5:.6g},{6},{7},' \
+                        '{8:.6g}\n'.format(
+                            idx, S, K, r, T, vol, right, ad, result.price
+                        )
+                    f.write(s)
+                    idx += 1
+                    idy += 1
+
+                # # (ii) an Asian call option with maturity in T year(s) and
+                # #      90 days averaging.
+                # ad = 90
+                # n = int(T * 365 // ad)
+                # f_start = (T * 365 - n * ad)
+                # t = [(x * ad) + f_start for x in range(n + 1)]
+                #
+                # # Price
+                # result = engine.price(T=t, ntrials=NTRIALS)
+                # s = '{0},{1:.6g},{2:.6g},{3:.6g},{4:.6g},{5:.6g},{6},{7},' \
+                #     '{8:.6g}\n'.format(
+                #         idx, S, K, r, T, vol, right, ad, result.price
+                #     )
+                # f.write(s)
+                # idx += 1
+
+                # (iii) an Asian call option with maturity in T year(s) and
+                #       7 days averaging.
+                ad = 7
+                n = int(T * 365 // ad)
+                if n > 1:
+                    # f_start = (T * 365 - n * ad)
+                    # t = [(x * ad) + f_start for x in range(n + 1)]
+                    t = [(x * ad / 365.) for x in range(n + 1)]
+
+                    # Price
+                    result = engine.price(T=t, ntrials=NTRIALS)
+                    if abs(result.price) < 1E-5:
+                        continue
+                    s = '{0},{1:.6g},{2:.6g},{3:.6g},{4:.6g},{5:.6g},{6},{7},' \
+                        '{8:.6g}\n'.format(
+                            idx, S, K, r, T, vol, right, ad, result.price
+                        )
+                    f.write(s)
+                    idx += 1
+                    idy += 1
+
+
+def barrier() -> None:
+    """Generate barrier option fake data."""
+    outfile = './barrier.csv'
+
+    with open(outfile, 'w') as f:
+        s = 'ID,Spot,Strike,Risk-Free Rate,Years to Expiry,Volatility,' \
+            'Option Right,Barrier Value,Barrier UpDown,Barrier InOut,Mesh Spacing,Price\n'
+        f.write(s)
+
+        idx = 0
+        for right in ('Call', 'Put'):
+            for b_inout in ('In', 'Out'):
+                for b_updown in ('Up', 'Down'):
+                    idy = 0
+                    while idy < NGEN:
+                        B, S, K, T, r, vol = np.random.random(6)
+                        B *= 300
+                        S *= 300
+                        K *= 300
+                        r = r * 1E-2 - 5E-3
+                        T *= 1
+                        vol += 1E-4
+
+                        path = PathGenerator(S=S, r=r, div=0., vol=vol)
+                        payoff = DiscreteBarrierPayOff(
+                            K=K, option_right=right, B=B,
+                            barrier_updown=b_updown, barrier_inout=b_inout
+                        )
+                        engine = PricingEngine(payoff=payoff, path=path)
+
+                        # (i) Monthly barrier dates.
+                        bd = 30
+                        n = int(T * 365 // bd)
+                        if n > 1:
+                            t = [(x * bd / 365.) for x in range(n + 1)]
+
+                            # Price
+                            result = engine.price(T=t, ntrials=NTRIALS)
+                            if abs(result.price) < 1E-5:
+                                continue
+                            s = '{0},{1:.6g},{2:.6g},{3:.6g},{4:.6g},{5:.6g},{6},{7:.6g},{8},' \
+                                '{9},{10},{11:.6g}\n'.format(
+                                    idx, S, K, r, T, vol, right, B, b_updown,
+                                    b_inout, bd, result.price
+                                )
+                            f.write(s)
+                            idx += 1
+                            idy += 1
+
+                        # (i) Weekly barrier dates.
+                        bd = 7
+                        n = int(T * 365 // bd)
+                        if n > 1:
+                            t = [(x * bd / 365.) for x in range(n + 1)]
+
+                            # Price
+                            result = engine.price(T=t, ntrials=NTRIALS)
+                            if abs(result.price) < 1E-5:
+                                continue
+                            s = '{0},{1:.6g},{2:.6g},{3:.6g},{4:.6g},{5:.6g},{6},{7:.6g},{8},' \
+                                '{9},{10},{11:.6g}\n'.format(
+                                    idx, S, K, r, T, vol, right, B, b_updown,
+                                    b_inout, bd, result.price
+                                )
+                            f.write(s)
+                            idx += 1
+                            idy += 1
+
+
+def main() -> None:
+    random.seed(1)
+
+    # Pricing Vanilla options
+    # vanilla()
+
+    # Pricing Asian options
+    asian()
+
+    # Pricing discrete barrier options
+    # barrier()
+
+    print('==================')
+    print('Shivesh Mandalia https://shivesh.org/')
+    print('==================')
+
+
+main.__doc__ = __doc__
+
+
+if __name__ == '__main__':
+    main()