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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()
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