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# author : S. Mandalia
# shivesh.mandalia@outlook.com
#
# date : March 19, 2020
"""
Payoff of an option.
"""
from abc import ABC, abstractmethod
from dataclasses import dataclass
from typing import List
from utils.enums import OptionRight, BarrierUpDown, BarrierInOut
__all__ = ['BasePayoff', 'VanillaPayOff', 'AsianArithmeticPayOff',
'DiscreteBarrierPayOff']
@dataclass
class BasePayoff(ABC):
"""Base class for calculating the payoff."""
K: float
option_right: (str, OptionRight)
@property
def option_right(self) -> OptionRight:
"""Right of the option."""
return self._option_right
@option_right.setter
def option_right(self, val: (str, OptionRight)) -> None:
"""Set the option_right of the option."""
if isinstance(val, str):
if not hasattr(OptionRight, val):
or_names = [x.name for x in OptionRight]
raise ValueError(f'Invalid str {val}, expected {or_names}')
self._option_right = OptionRight[val]
elif isinstance(val, OptionRight):
self._option_right = val
else:
raise TypeError(
f'Expected str or OptionRight, instead got type {type(val)}!'
)
def _calculate_call(self, S: float) -> float:
"""Call option."""
return max(S - self.K, 0.)
def _calculate_put(self, S: float) -> float:
"""Put option."""
return max(self.K - S, 0.)
@abstractmethod
def calculate(self, S: float) -> float:
"""Calulate the payoff for a given spot."""
class VanillaPayOff(BasePayoff):
"""
Class for calculating the payoff of a vanilla option.
Attributes
----------
option_right : Right of the option.
K : Strike price.
Methods
----------
calculate(S)
Calulate the payoff given a spot price.
Examples
----------
>>> from utils.payoff import VanillaPayOff
>>> payoff = VanillaPayOff(option_right='Call', K=150.)
>>> print(payoff.calculate(160.))
10.0
"""
def calculate(self, S: (float, List[float])) -> float:
"""
Calulate the payoff given a spot price.
Parameters
----------
S : Spot price or list of spot prices.
Returns
----------
payoff : Payoff.
Notes
----------
If a list is given as input, the final entry will be taken to evaluate.
"""
if not isinstance(S, float):
S = S[-1]
if self.option_right == OptionRight.Call:
payoff = self._calculate_call(S)
else:
payoff = self._calculate_put(S)
return payoff
class AsianArithmeticPayOff(BasePayoff):
"""
Class for calculating the payoff of an arithmetic Asian option.
Attributes
----------
option_right : Right of the option.
K : Strike price.
Methods
----------
calculate(S)
Calulate the payoff given a set of prices for the underlying.
Examples
----------
>>> from utils.payoff import AsianArithmeticPayOff
>>> payoff = AsianArithmeticPayOff(option_right='Call', K=150)
>>> print(payoff.calculate([140, 150, 160, 170, 180]))
10.0
"""
def calculate(self, S: List[float]) -> float:
"""
Calulate the payoff given a set of prices for the underlying.
Parameters
----------
S : Set of prices for the underlying {S_t1, S_t2, ..., S_tn}.
Returns
----------
payoff : Payoff.
"""
avg_sum = sum(S) / len(S)
if self.option_right == OptionRight.Call:
payoff = self._calculate_call(avg_sum)
else:
payoff = self._calculate_put(avg_sum)
return payoff
@dataclass(init=False)
class DiscreteBarrierPayOff(BasePayoff):
"""
Class for calculating the payoff of a discrete barrier European style
option.
Attributes
----------
option_right : Right of the option.
K : Strike price.
B : Barrier price.
barrier_updown : Up or down type barrier option.
barrier_inout : In or out type barrier option.
Methods
----------
calculate(S)
Calulate the payoff given a set of prices for the underlying.
Examples
----------
>>> from utils.payoff import DiscreteBarrierPayOff
>>> payoff = DiscreteBarrierPayOff(option_right='Call', K=100, B=90,
barrier_updown='Down', barrier_inout='Out')
>>> print(payoff.calculate([100., 110., 120.]))
20.0
>>> print(payoff.calculate([100., 110., 120., 80., 110.]))
0.0
"""
B: float
barrier_updown: (str, BarrierUpDown)
barrier_inout: (str, BarrierInOut)
def __init__(self, option_right: (str, OptionRight), K: float, B: float,
barrier_updown: (str, BarrierUpDown),
barrier_inout: (str, BarrierInOut)):
super().__init__(K, option_right)
self.B = B
self.barrier_updown = barrier_updown
self.barrier_inout = barrier_inout
@property
def barrier_updown(self) -> BarrierUpDown:
"""Up or down type barrier option."""
return self._barrier_updown
@barrier_updown.setter
def barrier_updown(self, val: (str, BarrierUpDown)) -> None:
"""Set either up or down type barrier option."""
if isinstance(val, str):
if not hasattr(BarrierUpDown, val):
or_names = [x.name for x in BarrierUpDown]
raise ValueError(f'Invalid str {val}, expected {or_names}')
self._barrier_updown = BarrierUpDown[val]
elif isinstance(val, BarrierUpDown):
self._barrier_updown = val
else:
raise TypeError(
f'Expected str or BarrierUpDown, instead got type {type(val)}!'
)
@property
def barrier_inout(self) -> BarrierInOut:
"""Up or down type barrier option."""
return self._barrier_inout
@barrier_inout.setter
def barrier_inout(self, val: (str, BarrierInOut)) -> None:
"""Set either up or down type barrier option."""
if isinstance(val, str):
if not hasattr(BarrierInOut, val):
or_names = [x.name for x in BarrierInOut]
raise ValueError(f'Invalid str {val}, expected {or_names}')
self._barrier_inout = BarrierInOut[val]
elif isinstance(val, BarrierInOut):
self._barrier_inout = val
else:
raise TypeError(
f'Expected str or BarrierInOut, instead got type {type(val)}!'
)
def calculate(self, S: List[float]) -> float:
"""
Calulate the payoff given a set of prices for the underlying.
Parameters
----------
S : Set of prices for the underlying {S_t1, S_t2, ..., S_tn}.
Returns
----------
payoff : Payoff.
"""
# Calculate the heavyside
if self.barrier_updown == BarrierUpDown.Up:
H = [1 if self.B - x > 0 else 0 for x in S]
else:
H = [1 if x - self.B > 0 else 0 for x in S]
# Calculate whether it has been activated
if self.barrier_inout == BarrierInOut.In:
activation = 1 if min(H) == 0 else 0
else:
activation = min(H)
# Calculate payoff using final price
if self.option_right == OptionRight.Call:
payoff = activation * self._calculate_call(S[-1])
else:
payoff = activation * self._calculate_put(S[-1])
return payoff
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